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A note on the embeddability conditions in the case of integrated carma (2, 1) stochastic process with single and double zero roots.
- Source :
-
Journal of Time Series Analysis . Jul2024, Vol. 45 Issue 4, p660-668. 9p. - Publication Year :
- 2024
-
Abstract
- We derive embeddability conditions for the integrated CARMA (2, 1) stochastic process with single and double zero roots in the case of stock variables. [ABSTRACT FROM AUTHOR]
- Subjects :
- *STOCHASTIC processes
Subjects
Details
- Language :
- English
- ISSN :
- 01439782
- Volume :
- 45
- Issue :
- 4
- Database :
- Academic Search Index
- Journal :
- Journal of Time Series Analysis
- Publication Type :
- Academic Journal
- Accession number :
- 177650661
- Full Text :
- https://doi.org/10.1111/jtsa.12730