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Strictly stationary solutions of multivariate ARMA equations with i.i.d. noise

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  • Peter Brockwell
  • Alexander Lindner
  • Bernd Vollenbröker

Abstract

We obtain necessary and sufficient conditions for the existence of strictly stationary solutions of multivariate ARMA equations with independent and identically distributed driving noise. For general ARMA(p, q) equations these conditions are expressed in terms of the coefficient polynomials of the defining equations and moments of the driving noise sequence, while for p = 1 an additional characterization is obtained in terms of the Jordan canonical decomposition of the autoregressive matrix, the moving average coefficient matrices and the noise sequence. No a priori assumptions are made on either the driving noise sequence or the coefficient matrices. Copyright The Institute of Statistical Mathematics, Tokyo 2012

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  • Peter Brockwell & Alexander Lindner & Bernd Vollenbröker, 2012. "Strictly stationary solutions of multivariate ARMA equations with i.i.d. noise," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 64(6), pages 1089-1119, December.
    • Handle: RePEc:spr:aistmt:v:64:y:2012:i:6:p:1089-1119
    DOI: 10.1007/s10463-012-0357-x
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    References listed on IDEAS

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    1. Athanasopoulos, George & Vahid, Farshid, 2008. "VARMA versus VAR for Macroeconomic Forecasting," Journal of Business & Economic Statistics, American Statistical Association, vol. 26, pages 237-252, April.
    2. Peter J. Brockwell & Alexander Lindner, 2010. "Strictly stationary solutions of autoregressive moving average equations," Biometrika, Biometrika Trust, vol. 97(3), pages 765-772.
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    Cited by:

    1. André Klein & Guy Melard, 2020. "Invertibility Condition of the Fisher Information Matrix of a VARMAX Process and the Tensor Sylvester Matrix," Working Papers ECARES 2020-11, ULB -- Universite Libre de Bruxelles.
    2. Spangenberg, Felix, 2013. "Strictly stationary solutions of ARMA equations in Banach spaces," Journal of Multivariate Analysis, Elsevier, vol. 121(C), pages 127-138.
    3. Mélard, Guy, 2022. "An indirect proof for the asymptotic properties of VARMA model estimators," Econometrics and Statistics, Elsevier, vol. 21(C), pages 96-111.
    4. Aleksandra Grzesiek & Prashant Giri & S. Sundar & Agnieszka WyŁomańska, 2020. "Measures of Cross‐Dependence for Bidimensional Periodic AR(1) Model with α‐Stable Distribution," Journal of Time Series Analysis, Wiley Blackwell, vol. 41(6), pages 785-807, November.
    5. Guy Melard, 2020. "An Indirect Proof for the Asymptotic Properties of VARMA Model Estimators," Working Papers ECARES 2020-10, ULB -- Universite Libre de Bruxelles.

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