Une approche géométrique des processus ARMA

Christian Gourieroux

Annals of Economics and Statistics, 1987, issue 8, 135-159

Abstract: A number of interesting properties of stationary processes, in particular Wold decomposition, can be derived using a geometrical approach. In this paper we introduce the notions of recent past and old past by means of well chosen vector spaces. A geometrical study of these spaces and of their correlation allows the derivation of several classical characterizations of the orders p and q of an ARMA process.

Date: 1987
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Persistent link: https://EconPapers.repec.org/RePEc:adr:anecst:y:1987:i:8:p:135-159

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