On the study of some functions of multivariate ARMA processes

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

Year of publication:	1988
Authors:	Peiris, M. Shelton
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 25.1988, 1, p. 146-151
Publisher:	Elsevier
Keywords:	time series ARMA model Hilbert space multivariate process

Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005221462