Advanced Search
MyIDEAS: Login

The Real Part of a Complex ARMA Process

Contents:

Author Info

  • Ralph Bailey

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.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: ftp://ftp.bham.ac.uk/pub/RePEc/pdf/DP05-09.pdf
Download Restriction: no

Bibliographic Info

Paper provided by Department of Economics, University of Birmingham in its series Discussion Papers with number 05-09.

as in new window
Length: 10 pages
Date of creation: Apr 2005
Date of revision:
Handle: RePEc:bir:birmec:05-09

Contact details of provider:
Postal: Edgbaston, Birmingham, B15 2TT
Web page: http://www.economics.bham.ac.uk
More information through EDIRC

Related research

Keywords: Complex ARMA processes; cycles; reciprocal polynomials; palindromic polynomials;

Other versions of this item:

Find related papers by JEL classification:

This paper has been announced in the following NEP Reports:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:bir:birmec:05-09. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Colin Rowat).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.