Need some help with autoregressive models

[euroazn]

There's a bunch of literature out there about empirical/data-fitting/statistical concerns regarding autoregressive times-series models, but is there anything out there about theoretical implications of a time-series being autoregressive? For example, when does \((\lim_{t \to \infty}E(X_t))\)exist? Does the prediction interval as t goes to infinity have a bound?

 

[pawelach]

Hi, just have a look at my article on ARCH and GARCH model. You will find a theory and practical application. Hopefully, it will help you: http://www.quantatrisk.com/2013/03/...it-strategy-for-intraday-algorithmic-traders/

If you have any inquires contact me directly. Cheers! -Pawel

 

[danielruc]

There's a bunch of literature out there about empirical/data-fitting/statistical concerns regarding autoregressive times-series models, but is there anything out there about theoretical implications of a time-series being autoregressive? For example, when does \((\lim_{t \to \infty}E(X_t))\)exist? Does the prediction interval as t goes to infinity have a bound?

Well, maybe Hamilton's Time Series Analysis is a great book to refer... It made very detailed discussion on ARMA models that you will find useful.

 

[euroazn]

Just saw this - the thread is old but I'll probably still be using this for unrelated thesis work. Thanks!