Decomposition of an autoregressive process into first order processes

Michael J. Monsour

Journal of Multivariate Analysis, 2016, vol. 147, issue C, 295-314

Abstract: Let Yn be an autoregressive process of order p. With p distinct characteristic roots, Yn can be decomposed into or expressed as a linear combination of p first order autoregressive processes. For the case of multiple characteristic roots, Yn with s

Keywords: Autoregressive process; First order process; Decomposition; Characteristic roots; Maximum likelihood estimators; Asymptotic distributions (search for similar items in EconPapers)
Date: 2016
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DOI: 10.1016/j.jmva.2016.02.007

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