Factorizing multivariate time series operators

Eivind Stensholt and Dag Tjøstheim

Journal of Multivariate Analysis, 1981, vol. 11, issue 2, 244-249

Abstract: Motivated by problems occurring in the empirical identification and modelling of a n-dimensional ARMA time series X(t) we study the possibility of obtaining a factorization (I + a1B + ... + apBp) X(t) = [[Pi]i=1p (I - [alpha]iB)] X(t), where B is the backward shift operator. Using a result in [3] we conclude that as in the univariate case such a factorization always exists, but unlike the univariate case in general the factorization is not unique for given a1, a2,..., ap. In fact the number of possibilities is limited upwards by (np)!/(n!)p, there being cases, however, where this maximum is not reached. Implications for the existence and possible use of transformations which removes nonstationarity (or almost nonstationarity) of X(t) are mentioned.

Keywords: Multivariate; time; series; factorization; of; matrix; polynomials; almost; nonstationary (search for similar items in EconPapers)
Date: 1981
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/0047-259X(81)90111-1
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jmvana:v:11:y:1981:i:2:p:244-249

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Journal of Multivariate Analysis is currently edited by de Leeuw, J.

More articles in Journal of Multivariate Analysis from Elsevier
Bibliographic data for series maintained by Catherine Liu ().