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The generalized variance of a stationary autoregressive process

✍ Scribed by T.W. Anderson; Raúl P. Mentz

Publisher
Elsevier Science
Year
1977
Tongue
English
Weight
217 KB
Volume
7
Category
Article
ISSN
0047-259X

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📜 SIMILAR VOLUMES

The variance ratio and trend stationary
The variance ratio and trend stationary model as extensions of a constrained autoregressive model
✍ Shlomo Zilca 📂 Article 📅 2009 🏛 John Wiley and Sons 🌐 English ⚖ 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