EconPapers    
Economics at your fingertips  
 

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
References: Add references at CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
https://repec.cal.bham.ac.uk/pdf/05-09.pdf

Related works:
Journal Article: THE REAL PART OF A COMPLEX ARMA PROCESS (2007) Downloads
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:bir:birmec:05-09

Access Statistics for this paper

More papers in Discussion Papers from Department of Economics, University of Birmingham Contact information at EDIRC.
Bibliographic data for series maintained by Oleksandr Talavera ().

 
Page updated 2023-06-15
Handle: RePEc:bir:birmec:05-09