Canonical Factorization and World Representation of Wide-Sense Stationary Series Under Sampling

Luigi Ermini

No 199304, Working Papers from University of Hawaii at Manoa, Department of Economics

Abstract: This paper establishes - via canonical factorization of the spectral density of a wide-sense stationary series - a general relationship between the parameters of the Wold representation of a discrete-time series and the parameters of its sampled version. As an application, the paper shows that the variance of the innovations of the sampled series is strictly greater than the variance of the innovations of the original series.

Keywords: sampling; canonical factorization; Wold representation (search for similar items in EconPapers)
JEL-codes: C4 (search for similar items in EconPapers)
Pages: 7 pages
Date: 1993
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