论文信息 - The Invertibility of Sums of Discrete MA and ARMA Processes

The Invertibility of Sums of Discrete MA and ARMA Processes

In this paper invertibility conditions for sums of seemingly unrelated discrete MA and ARMA processes are derived. It is demonstrated how the results widen the range of possibilities when single ARMA models are regarded as linear combinations of simpler models. Some examples of this are provided. The results are generalized to the vector ARMA processes.

Timo Teräsvirta

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