A note on the properties of some nonstationary ARMA processes

The aim of this note is to study the properties of some nonstationary autoregressive-moving average (ARMA) processes that are considered important in real world situations. In particular, the covariance structure and linear predictors are obtained.

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Year of publication:	1987
Authors:	Singh, N. ; Peiris, M. Shelton
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 24.1987, 1, p. 151-155
Publisher:	Elsevier
Keywords:	Hilbert space linear prediction time-dependent coefficients

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008875342