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A generalization and extension of an autoregressive model

โœ Scribed by S. Satheesh; E. Sandhya; K.E. Rajasekharan


Book ID
108267493
Publisher
Elsevier Science
Year
2008
Tongue
English
Weight
244 KB
Volume
78
Category
Article
ISSN
0167-7152

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The variance ratio and trend stationary
โœ Shlomo Zilca ๐Ÿ“‚ Article ๐Ÿ“… 2009 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 104 KB

## Abstract This paper shows that a constrained autoregressive model that assigns linearly decreasing weights to past observations of a stationary time series has important links to the variance ratio methodology and trend stationary model. It is demonstrated that the proposed autoregressive model