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Decomposition of an autoregressive process into first order processes

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  • Monsour, Michael J.

Abstract

Let Yn be an autoregressive process of order p. With p distinct characteristic roots, Yn can be decomposed into or expressed as a linear combination of p first order autoregressive processes. For the case of multiple characteristic roots, Yn with s

Suggested Citation

  • Monsour, Michael J., 2016. "Decomposition of an autoregressive process into first order processes," Journal of Multivariate Analysis, Elsevier, vol. 147(C), pages 295-314.
    • Handle: RePEc:eee:jmvana:v:147:y:2016:i:c:p:295-314
    DOI: 10.1016/j.jmva.2016.02.007
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    References listed on IDEAS

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    1. Juha Ahtola & George C. Tiao, 1987. "Distributions Of Least Squares Estimators Of Autoregressive Parameters For A Process With Complex Roots On The Unit Circle," Journal of Time Series Analysis, Wiley Blackwell, vol. 8(1), pages 1-14, January.
    2. Stigum, Bernt P., 1974. "Asymptotic properties of dynamic stochastic parameter estimates (III)," Journal of Multivariate Analysis, Elsevier, vol. 4(4), pages 351-381, December.
    3. Monsour, Michael J. & Mikulski, Piotr W., 1998. "On limiting distributions in explosive autoregressive processes," Statistics & Probability Letters, Elsevier, vol. 37(2), pages 141-147, February.
    4. Lai, T. L. & Wei, C. Z., 1983. "Asymptotic properties of general autoregressive models and strong consistency of least-squares estimates of their parameters," Journal of Multivariate Analysis, Elsevier, vol. 13(1), pages 1-23, March.
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