Broszkiewicz-Suwaj, Ewa; Wylomanska, Agnieszka - Hugo Steinhaus Center for Stochastic Methods, … - 2004
In this paper we present a new approach to integration and cointegration. We show that a periodically correlated time series can be divided in a natural way into subseries that are integrated. Moreover, with high probability they are cointegrated. Therefore it is enough to show periodic...
