Definitions and Stationarity

Klaus Neusser ()

Chapter 10 in Time Series Econometrics, 2016, pp 201-206 from Springer

Abstract: Abstract Similarly to the univariate case, we start our exposition with the concept of stationarity which is also crucial in the multivariate setting. Before doing so let us define the multivariate stochastic process.

Keywords: Correlation Function; Covariance Function; Inflation Rate; Univariate Case; Matrix Norm (search for similar items in EconPapers)
Date: 2016
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DOI: 10.1007/978-3-319-32862-1_10

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