Basic Definitions and Concepts
Peter Reinhard Hansen, Søren Johansen · 1998
Abstract A multivariate linear process is defined by where the coefficient matrices Ci decrease to zero exponentially fast, so that the function i is convergent for the complex argument satisfying Jzl O; see SJ, Definition 3.1. The basic idea is to define an J(O) process as a multivariate linear process where the sum of the matrix coefficients is non-zero, that is, class of J(l) processes is defined as those that become J(O) after taking the difference, and similarly a process is 1(2) if the difference is J(l).