A REPRESENTATION THEORY FOR A CLASS OF VECTOR AUTOREGRESSIVE MODELS FOR FRACTIONAL PROCESSES
A REPRESENTATION THEORY FOR A CLASS OF VECTOR AUTOREGRESSIVE MODELS FOR FRACTIONAL PROCESSES
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Publisher
New York, USA: Cambridge University Press
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Language
English
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New York, USA: Cambridge University Press
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Contents
Based on an idea of Granger (1986, Oxford Bulletin of Economics and Statistics 48, 213–228), we analyze a new vector autoregressive model defined from the fractional lag operator 1 − (1 − L)d. We first derive conditions in terms of the coefficients for the model to generate processes that are fractional of order zero. We then show that if there is...
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Full title
A REPRESENTATION THEORY FOR A CLASS OF VECTOR AUTOREGRESSIVE MODELS FOR FRACTIONAL PROCESSES
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TN_cdi_proquest_miscellaneous_36905994
Permalink
https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_proquest_miscellaneous_36905994
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ISSN
0266-4666
E-ISSN
1469-4360
DOI
10.1017/S0266466608080274
