A unified approach to the study of sums, products, time-aggregation and other functions of ARMA processes
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Conditions under which sums, products and time-aggregation of ARMA processes follow ARMA models are derived from a single theorem. This characterizes these processes in terms of difference equations satisfied by their autocovariance function. From this we obtain necessary and sufficient conditions for a function of a Gaussian ARMA process and the product of two possibly dependent Gaussian ARMA processes to be ARMA. We show that the sum and product of two ARMA processes related by a Box and Jenkins transfer function model belong to the ARMA family.
Artículo de publicación ISI
DOI: DOI: 10.1111/j.1467-9892.1984.tb00384.x
Quote ItemJournal Time Series Analysis No. 5, pp. 159 - 171, 1984
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