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  • TS PG04 2324

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    Sougata Khan
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    1) The autocovariance function of a stationary process characterizes the covariance between observations at different time lags. 2) Kabnmag's theorem states that if a vector time series satisfies certain conditions, including stationarity and nonsingular covariance, then it can be represented as a linear process driven by white noise. 3) The characterization of an autoregressive process involves showing that its autocovariance function is even and satisfies the properties required for Kabnmag's theorem to hold.

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    time series 5

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    TS_PG04_2324

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    1) The autocovariance function of a stationary process characterizes the covariance between observations at different time lags. 2) Kabnmag's theorem states that if a vector time series satisfies certain conditions, including stationarity and nonsingular covariance, then it can be represented as a linear process driven by white noise. 3) The characterization of an autoregressive process involves showing that its autocovariance function is even and satisfies the properties required for Kabnmag's theorem to hold.

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    © All Rights Reserved
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    13 views5 pages

    TS PG04 2324

    Uploaded by

    Sougata Khan
    1) The autocovariance function of a stationary process characterizes the covariance between observations at different time lags. 2) Kabnmag's theorem states that if a vector time series satisfies certain conditions, including stationarity and nonsingular covariance, then it can be represented as a linear process driven by white noise. 3) The characterization of an autoregressive process involves showing that its autocovariance function is even and satisfies the properties required for Kabnmag's theorem to hold.

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    of 5

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