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

Costantini M;
2009-01-01

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.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11697/135911
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