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The Real Part of a Complex ARMA Process

Ralph Bailey ()

Discussion Papers from Department of Economics, University of Birmingham

Abstract: Every real ARMA(p,q) process can trivially be written as the real part of a complex ARMA(p,q) process, which we abbreviate as ReCARMA(p,q). Less trivially, every ReCARMA(p,q) process can be represented as a real ARMA(2p,p + q) process or some simpler process. This provides an alternative, ReCARMA, parametrization for real ARMA processes. The choice of which parametrization is preferable in a given context then arises. When cycles are present, the ReCARMA representation is often to be preferred as being more parsimonious, or as having parameters that are easier to interpret.

Keywords: Complex ARMA processes; cycles; reciprocal polynomials; palindromic polynomials (search for similar items in EconPapers)
JEL-codes: C32 (search for similar items in EconPapers)
Pages: 10 pages
Date: 2005-04
New Economics Papers: this item is included in nep-ecm and nep-ets
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Journal Article: THE REAL PART OF A COMPLEX ARMA PROCESS (2007) Downloads
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