By K. Patterson
This publication supplies an authoritative evaluation of the literature on non-stationarity, integration and unit roots, supplying path and information. It additionally offers distinctive examples to teach how the suggestions will be utilized in functional occasions and the pitfalls to avoid.
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Additional info for A Primer for Unit Root Testing
In the case of a stochastic process, the sample space is the space of a sequence of length n (or T in the case of a random variable with an inherent time dimension). 2. If the n tosses of the coin are consecutive, then the sample space, of dimension 2n, is denoted ⍀n, where the generic element of ⍀n, i, refers to an n-dimensional ordered sequence. In the usual case that the coin tosses are independent, then the sample space Introduction to Probability and Random Variables 19 ⍀n is the product space, ⍀n = ⍀1 ϫ ⍀1 ϫ ...
More generally, define an n-dimensional random vector as the collection of n random variables: x = ( x1 , x 2 , .! 11) where each of the xj is a real-valued random variable. For simplicity assume that each random variable is defined on the measurable space (ᑬ, B). ) By letting the index j take the index of time, x becomes a vector of a random variable at different points in time; such a case is distinguished throughout this book by reserving the notation y j or y t where time is of the essence.
I Discrete random variables By definition, a discrete random variable, x, has a range R(x), with a countable number of elements. The probability density function associated with a discrete random variable is usually referred to as the probability mass function, pmf, because it assigns ‘mass’, rather than density, at a countable number of discrete points. 3. 20) Recall the notational convention that x denotes the random variable, or more precisely random function, and X denotes an outcome; thus x = Xi means that the outcome of x is Xi and P(x = Xi) is the assignment of probability (mass) to that outcome; the latter may more simply be referred to as P(x = Xi) or P(X) when the context is clear.
A Primer for Unit Root Testing by K. Patterson