Spectral Properties of Non-Stationary Systems of Linear Stochastic Difference Equations
作者:
GregoryC. Chow,
RichardE. Levitan,
期刊:
Journal of the American Statistical Association
(Taylor Available online 1969)
卷期:
Volume 64,
issue 326
页码: 581-590
ISSN:0162-1459
年代: 1969
DOI:10.1080/01621459.1969.10500995
出版商: Taylor & Francis Group
数据来源: Taylor
摘要:
A method is proposed to eliminate trends from a sample from a non-stationary system of linear stochastic difference equations. The auto-covariance matrix and the spectral density matrix of the detrended component of the sample are derived. The latter matrix turns out to have the same form as the spectral density matrix for a stationary system when expressed in terms of the roots of the system. Since the parameters of the system are assumed known throughout the paper, the problem of statistical inference does not arise.
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