On time series with randomized unit root and randomized seasonal unit root

Computational Statistics and Data Analysis

Volumn 43, Issue 3, 2003, Pages 369-395

  Fong, Pak Wing ^a   Li, Wai Keung ^a  

^a UNIVERSITY OF HONG KONG   (Hong Kong)

Author keywords

Brownian motion; Markov chain Monte Carlo; Randomized seasonal unit root; Randomized unit root; Score based test

Indexed keywords

DATA REDUCTION; MARKOV PROCESSES; MONTE CARLO METHODS; PARAMETER ESTIMATION; PROBLEM SOLVING; STATISTICAL METHODS;

BROWNIAN PROCESSES;

TIME SERIES ANALYSIS;

STATISTICAL ANALYSIS;

EID: 0037593432     PISSN: 01679473     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0167-9473(02)00298-0     Document Type: Article

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