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The orthogonal decomposition of moving average processes. (English) Zbl 0437.62082

MSC:

62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
60G10 Stationary stochastic processes
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References:

[1] O. D. Anderson, 1974 (a): Time Series Analysis and Forecasting, the Box-Jenkins approach. To be published by Butterworths.
[2] O. D. Anderson, 1974 (b): On a Lemma associated with Box, Jenkins and Granger. Submitted for publication in the Journal of Econometrics. · Zbl 0303.62067
[3] O. D. Anderson, 1974 (c): Topics in Time Series. Paper presented to the Mathematics, Computing and Statistics Applications Conference of the British Sociological Association.
[4] O. D. Anderson, 1974 (d): Convex properties of Moving Average processes.
[5] O. D. Anderson, 1974 (e): Time Series Inequalities. Submitted for publication in the Journal of Econometrics.
[6] G. E. P. Box and G. M. Jenkins, 1970: Time Series Analysis forecasting and control. Holden-Day. · Zbl 0249.62009
[7] C. W. J. Granger, 1972: Time Series Modelling and Interpretation. Paper presented to the European Econometric Congress.
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