On the study of some functions of multivariate ARMA processes

M. Shelton Peiris

Journal of Multivariate Analysis, 1988, vol. 25, issue 1, 146-151

Abstract: In this paper we prove that the sum of two independent multivariate ARMA processes is also ARMA under certain regularity conditions.

Keywords: time; series; ARMA; model; Hilbert; space; multivariate; process (search for similar items in EconPapers)
Date: 1988
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Citations: View citations in EconPapers (5)

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