On ARMA(1,q) models with bounded and periodically correlated solutions

Aleksander Weron and Agnieszka Wyłomańska

No HSC/03/03, HSC Research Reports from Hugo Steinhaus Center, Wroclaw University of Science and Technology

Abstract: In this paper, motivated by [2], we derive necessary and sufficient conditions for bounded and periodically correlated solutions to the system of equations described by ARMA(1,q) model.

Keywords: Periodically correlated; ARMA model; Periodic coefficients (search for similar items in EconPapers)
JEL-codes: C22 C32 (search for similar items in EconPapers)
Pages: 10 pages
Date: 2003
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