Moving Average Representations for Multivariate Stationary Processes

A. R. Soltani and M. Mohammadpour

Journal of Time Series Analysis, 2006, vol. 27, issue 6, 831-841

Abstract: Abstract. Backward and forward moving average (MA) representations are established for multivariate stationary processes. It is observed that in the multivariate case, in contrast to the univariate case, the backward and forward MA coefficients correspondingly, in general, are different. A method is presented to adopt the known techniques in deriving the backward MA to obtain the forward ones.

Date: 2006
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https://doi.org/10.1111/j.1467-9892.2006.00503.x

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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:27:y:2006:i:6:p:831-841

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