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.File in questo prodotto:
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