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Some thoughts on stationary processes and linear time series analysis
Published online by Cambridge University Press: 14 July 2016
Abstract
In this paper we trace the development of the asymptotic analysis of autocorrelations for stationary purely non-deterministic time series. We emphasize the interplay between mathematical requirements and modelling philosophy. We then proceed to extend the theory to the case where only a certain weak form of asymptotic independence of the linear prediction errors is needed rather than the earlier martingale difference or independence requirements.
- Type
- Part 7 - Stationary Processes and Time Series
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- Copyright
- Copyright © Applied Probability Trust 1988