Une approche géométrique des processus ARMA
A number of interesting properties of stationary processes, in particular Wold decomposition, can be derived using a geometrical approach. In this paper we introduce the notions of recent past and old past by means of well chosen vector spaces. A geometrical study of these spaces and of their correlation allows the derivation of several classical characterizations of the orders p and q of an ARMA process.
Year of publication: |
1987
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Authors: | GOURIEROUX, Christian |
Published in: |
Annales d'Economie et de Statistique. - École Nationale de la Statistique et de l'Admnistration Économique (ENSAE). - 1987, 8, p. 135-159
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Publisher: |
École Nationale de la Statistique et de l'Admnistration Économique (ENSAE) |
Saved in:
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