Premium
MODELS THAT GENERATE TRENDS
Author(s) -
Granger C. W. J.
Publication year - 1988
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/j.1467-9892.1988.tb00474.x
Subject(s) - mathematics , series (stratigraphy) , white noise , class (philosophy) , constant (computer programming) , noise (video) , econometrics , statistics , computer science , artificial intelligence , paleontology , image (mathematics) , biology , programming language
. Using the theory of divergent series, a class of linear filters are considered that when applied to a constant generate a wide class of deterministic trends in mean. If these filters are applied to a white noise, series are produced that have changing variances and may correspond to fractional integrated series. Some other trend‐generating mechanisms are also considered and methods of characterizing different trends are discussed.