NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES:A RECONSIDERATION

DOI10.1111/j.1467-9892.1995.tb00253.xzbMath0837.62065OpenAlexW1964528043MaRDI QIDQ4864577

Valentina Corradi

Publication date: 20 May 1996

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1995.tb00253.x

zbMATH Keywords

random walksmartingalescointegrationstrong mixinglong memory processesMarkov propertysubmartingalesDoob decompositionshort memory processesunit root component

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Sums of independent random variables; random walks (60G50)

Related Items (7)

The effect of data transformation on common cycle, cointegration, and unit root tests: Monte Carlo results and a simple test ⋮ SUMS OF EXPONENTIALS OF RANDOM WALKS WITH DRIFT ⋮ On the memory of products of long range dependent time series ⋮ On the sensitivity of unit root inference to nonlinear data transformations ⋮ Long-memory property of nonlinear transformations of break processes ⋮ Testing for stationarity-ergodicity and for comovements between nonlinear discrete time Markov processes ⋮ Testing for unit roots in the context of misspecified logarithmic random walks.

Cites Work

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• An almost sure invariance principle for stationary ergodic sequences of Banach space valued random variables
• Some generalizations on the algebra of I(1) processes
• Stability of Markovian processes I: criteria for discrete-time Chains
• Functions of Brownian Motion
• Invariance principles for dependent variables

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