We develop an asymptotic theory for the first two sample moments of a stationary multivariate long memory process under fairly general conditions. In this theory the convergence rates and the limits ...

These properties depend on uniform rates of convergence being established for covariances up to some lag increasing indefinitely with the length of record, T. The necessary limit theorems and the ...

This paper considers the problem of jointly decomposing a set of time series variables into cyclical and trend components, subject to sets of stochastic linear restrictions among these cyclical and ...

Learn how to build a multivariate linear regression model step by step—no libraries, just pure C++ logic!

Researchers and students of applied statistics and the social and behavioral sciences will find this book indispensable for understanding both general linear model theory and application. The model is ...