Document Type
Discussion Paper
Publication Date
10-1-1989
CFDP Number
932
CFDP Pages
48
Abstract
A method of deriving asymptotics for linear processes is introduced which uses an explicit algebraic decomposition of the linear filter. The method leads to substantial simplifications in the asymptotics and offers a unified approach to strong laws and central limit theory for linear processes. Sample means and sample covariances are covered. The results also accommodate both homogeneous and heterogeneous innovations as well as innovations with undefined means and variances.
Recommended Citation
Phillips, Peter C.B. and Solo, Victor, "Asymptotics for Linear Processes" (1989). Cowles Foundation Discussion Papers. 1175.
https://elischolar.library.yale.edu/cowles-discussion-paper-series/1175