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Nonstationary Yule-Walker equations

Marc Hallin () and Jean-François Ingenbleek

ULB Institutional Repository from ULB -- Universite Libre de Bruxelles

Abstract: A nonstationary generalization of the classical Yule-Walker equations, relating the (time-varying) autocorrelations of an autoregressive process to the coefficients of the possible models for this process, is given. The corresponding theoretical model-building (or spectral factorization) problem, i.e. that of expressing the above mentioned models in terms of the autocorrelations, is solved. This paper, as well as several others, is part of a work whose purpose is a systematic study of time-varying ARMA models. © 1983.

Keywords: nonstationary autoregressive processes; stochastic difference equations; Time series; time-varying autoregressive models (search for similar items in EconPapers)
Date: 1983
Note: SCOPUS: ar.j
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Published in: Statistics & Probability Letters (1983) v.1,p.189-195

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