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Integrated Processes

In: Time Series Econometrics

Author

Listed:
  • Klaus Neusser

Abstract

Up to now the discussion concentrated on stationary processes and in particular ARMA processes. According to the Wold decomposition theorem (see Theorem 3.1) every purely non-deterministic processes possesses the following representation: X t = μ + Ψ ( L ) Z t , $$\displaystyle{ X_{t} =\mu +\Psi (\mathrm{L})Z_{t}, }$$ where { Z t } ∼ WN ( 0 , σ 2 ) $$\{Z_{t}\} \sim \mathrm{ WN}(0,\sigma ^{2})$$ and ∑ j = 0 ∞ ψ j 2

Suggested Citation

  • Klaus Neusser, 2016. "Integrated Processes," Springer Texts in Business and Economics, in: Time Series Econometrics, chapter 7, pages 133-165, Springer.
    • Handle: RePEc:spr:sptchp:978-3-319-32862-1_7
    DOI: 10.1007/978-3-319-32862-1_7
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