Representation of Cointegrated Autoregressive Processes with Application to Fractional Processes
利用矩阵值特征多项式分析向量自回归过程，综述了矩阵多项式在存在不稳定根时的求逆结果，并提出了I(2)表示的新公式以及分数过程的新误差修正模型。
We analyze vector autoregressive processes using the matrix valued characteristic polynomial. The purpose of this article is to give a survey of the mathematical results on inversion of a matrix polynomial in case there are unstable roots, to study integrated and cointegrated processes. The new results are in the I(2) representation, which contains explicit formulas for the first two terms and a useful property of the third. We define a new error correction model for fractional processes and derive a representation of the solution.