Spectral measures of PARMA sequences

Agnieszka Wyłomańska

Journal of Time Series Analysis, 2008, vol. 29, issue 1, 1-13

Abstract: Abstract. The aim of this article is to give a complete description of the spectral measure of periodic autoregressive moving‐average (PARMA) system in terms of its coefficients. In the analysis we use the spectral theory of strongly harmonizable sequences presented in Hurd [Journal of Multivariate Analysis (1989) Vol. 29, pp. 53–67] and the form of the unique bounded solution of ARMA model with periodic coefficients. As an application of the theoretical results, we present some examples of the spectral measures for PARMA models.

Date: 2008
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https://doi.org/10.1111/j.1467-9892.2007.00541.x

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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:29:y:2008:i:1:p:1-13

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