This paper provides a theoretical functional representation of the density function related to the Dickey-Fuller random variable. The approach is extended to cover the multivariate case in two special frameworks: the independence and the perfect correlation of the series.
A Characterization of the Dickey-Fuller Distribution With Some Extensions to the Multivariate Case / Cerqueti, R.; M, Costantini; C, Lupi. - (2009), pp. 4570-4576.
A Characterization of the Dickey-Fuller Distribution With Some Extensions to the Multivariate Case
R. CERQUETI;COSTANTINI M;
2009
Abstract
This paper provides a theoretical functional representation of the density function related to the Dickey-Fuller random variable. The approach is extended to cover the multivariate case in two special frameworks: the independence and the perfect correlation of the series.File allegati a questo prodotto
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