The Real Part of a Complex ARMA Process
AbstractEvery 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.
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Bibliographic InfoPaper provided by Department of Economics, University of Birmingham in its series Discussion Papers with number 05-09.
Length: 10 pages
Date of creation: Apr 2005
Date of revision:
Complex ARMA processes; cycles; reciprocal polynomials; palindromic polynomials;
Other versions of this item:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
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- NEP-ECM-2005-07-25 (Econometrics)
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