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Linear processes: properties and asymptotic results (in Russian)

Vadim Marmer ()

Quantile, 2012, issue 10, 33-56

Abstract: This essay surveys results for linear time series including Wold decomposition, properties of spectral density functions and lag operators, autoregressive moving average models, Beveridge–Nelson decomposition, and Phillips–Solo device for deriving asymptotics.

Date: 2012
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