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Stationarity and Stability

  • Des F. Nicholls
  • Barry G. Quinn
Part of the Lecture Notes in Statistics book series (LNS, volume 11)

Abstract

In the case of the scalar RCA model, that is the model with p = 1, Andel (1976) has obtained conditions for the existence of a singly infinite process {X(t); t = 1-n,…,0,1,…} satisfying (1.1.1) which is second order stationary. In this chapter we shall extend the results of Andel to the multivariate RCA model and also obtain conditions for the existence of a doubly infinite process {X(t); t = 0,± 1,± 2,…} which is second order stationary and satisfies (1.1.1) for all t.

Keywords

Unit Circle Covariance Matrix Versus Jordan Canonical Form Infinite Process Unit Eigenvalue 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer-Verlag New York Inc. 1982

Authors and Affiliations

  • Des F. Nicholls
    • 1
  • Barry G. Quinn
    • 2
  1. 1.Australian National UniversityCanberraAustralia
  2. 2.University of WollongongWollongongAustralia

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