On the structure of moving average processes
dc.contributor.author | Ansley, Craig F. | en_US |
dc.contributor.author | Spivey, W. Allen | en_US |
dc.contributor.author | Wrobleski, William J. | en_US |
dc.date.accessioned | 2006-04-07T17:10:05Z | |
dc.date.available | 2006-04-07T17:10:05Z | |
dc.date.issued | 1977-07 | en_US |
dc.identifier.citation | Ansley, Craig F., Spivey, W. Allen, Wrobleski, William J. (1977/07)."On the structure of moving average processes." Journal of Econometrics 6(1): 121-134. <http://hdl.handle.net/2027.42/22881> | en_US |
dc.identifier.uri | http://www.sciencedirect.com/science/article/B6VC0-459J75M-3N/2/cdddb4615f30e4813d1a01da607ab4c5 | en_US |
dc.identifier.uri | https://hdl.handle.net/2027.42/22881 | |
dc.description.abstract | This paper uses Hilbert space methods to develop a rigorous proof that the sum of two uncorrelated moving average processes of order q1 and q2 is an MA process of order q [less, double equals] max (q1, q2). The methods establish the existence of suitable random shocks for the summed process, they illuminate relationships between the coefficients of such processes and their random shocks, and they provide means for proving that the random shocks of the summed processes are normal when the shocks of the underlying processes are normal. The role of the Wold decomposition is examined in terms of multiple representations of an MA process. | en_US |
dc.format.extent | 748111 bytes | |
dc.format.extent | 3118 bytes | |
dc.format.mimetype | application/pdf | |
dc.format.mimetype | text/plain | |
dc.language.iso | en_US | |
dc.publisher | Elsevier | en_US |
dc.title | On the structure of moving average processes | en_US |
dc.type | Article | en_US |
dc.rights.robots | IndexNoFollow | en_US |
dc.subject.hlbsecondlevel | Statistics and Numeric Data | en_US |
dc.subject.hlbsecondlevel | Mathematics | en_US |
dc.subject.hlbsecondlevel | Economics | en_US |
dc.subject.hlbtoplevel | Social Sciences | en_US |
dc.subject.hlbtoplevel | Science | en_US |
dc.subject.hlbtoplevel | Business | en_US |
dc.description.peerreviewed | Peer Reviewed | en_US |
dc.contributor.affiliationum | The University of Michigan, Ann Arbor, MI 48109, U.S.A. | en_US |
dc.contributor.affiliationum | The University of Michigan, Ann Arbor, MI 48109, U.S.A. | en_US |
dc.contributor.affiliationum | The University of Michigan, Ann Arbor, MI 48109, U.S.A. | en_US |
dc.description.bitstreamurl | http://deepblue.lib.umich.edu/bitstream/2027.42/22881/1/0000445.pdf | en_US |
dc.identifier.doi | http://dx.doi.org/10.1016/0304-4076(77)90058-6 | en_US |
dc.identifier.source | Journal of Econometrics | en_US |
dc.owningcollname | Interdisciplinary and Peer-Reviewed |
Files in this item
Remediation of Harmful Language
The University of Michigan Library aims to describe library materials in a way that respects the people and communities who create, use, and are represented in our collections. Report harmful or offensive language in catalog records, finding aids, or elsewhere in our collections anonymously through our metadata feedback form. More information at Remediation of Harmful Language.
Accessibility
If you are unable to use this file in its current format, please select the Contact Us link and we can modify it to make it more accessible to you.