Mixed autoregressive-moving average multivariate processes with time-dependent coefficients
Marc Hallin ()
Journal of Multivariate Analysis, 1978, vol. 8, issue 4, 567-572
Conditions for mixed autoregressive-moving average processes with time-dependent coefficients to be purely nondeterministic and invertible can be obtained from classical difference equations theory. These conditions involve one-sided Green's functions or their matricial equivalents. A recursive computation of these functions is proposed, which allows one to drop the assumption of nondegeneracy classicaly made about the highest order matrix of difference operators; it constitutes thus a generalized definition of these functions.
Keywords: Time; series; difference; equations; stochastic; equations (search for similar items in EconPapers)
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Working Paper: Mixed autoregressive-moving average multivariate processes with time-dependent coefficients (1978)
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