Generalized Local-to-Unity Models

Generalized Local-to-Unity Models

We introduce a generalization of the popular local‐to‐unity model of time series persistence by allowing for p autoregressive (AR) roots and p − 1 moving average (MA) roots close to unity. This generalized local‐to‐unity model, GLTU(p), induces convergence of the suitably scaled time series to a con...

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書目詳細資料
Main Authors:	DOU, Liyu, MÜLLER, Ulrich K.
格式:	text
語言:	English
出版:	Institutional Knowledge at Singapore Management University 2021
主題:	Continuous time ARMA process convergence approximability Econometrics
在線閱讀:	https://ink.library.smu.edu.sg/soe_research/2717 https://ink.library.smu.edu.sg/context/soe_research/article/3716/viewcontent/beyondLTU2_pv.pdf
標簽:	添加標簽沒有標簽, 成為第一個標記此記錄!
機構:	Singapore Management University
語言:	English

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