A note on the time series which is the product of two stationary time series |
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| Authors: | William E. Wecker |
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| Affiliation: | University of Chicago, Graduate School of Business, Chicago, IL 60637, USA |
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| Abstract: | ![]()
The time series […,x-1y-1,x0y0,x1y1,…]> which is the product of two stationary time series xt and yt is studied. Such sequences arise in the study of nonlinear time series, censored time series, amplitude modulated time series, time series with random parameters, and time series with missing observations. The mean and autocovariance function of the product sequence are derived. |
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| Keywords: | time series product nonlinear |
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