Comovements Between Diffusion Processes
研究了非遍历扩散过程之间的长期线性共同运动，即存在一个线性组合使得组合后的过程是遍历的，并给出了误差修正表示和估计检验方法。
The aim of this paper is to characterize and analyze long-run comovements among diffusion processes. Broadly speaking, if X = ( X 1 ,, X 2 ,;t ≥ 0) is a nonergodic diffusion in R 2 , but there exists a linear combination, say, γ′ X , that is instead ergodic in R, then we say there exists a linear stochastic comovement between the components of X . Linear diffusions exhibiting stochastic comovements admit an error correction representation. Estimation of γ and hypothesis testing, under different sampling schemes, are considered.