Moving Average Representations for Multivariate Stationary Processes

Backward and forward moving average (MA) representations are established for multivariate stationary processes. It is observed that in the multivariate case, in contrast to the univariate case, the backward and forward MA coefficients correspondingly, in general, are different. A method is presented to adopt the known techniques in deriving the backward MA to obtain the forward ones. Copyright 2006 The Authors Journal compilation 2006 Blackwell Publishing Ltd.