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The Real Part of a Complex ARMA Process

Listed author(s):
  • Ralph Bailey

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.

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

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Length: 10 pages
Date of creation: Apr 2005
Handle: RePEc:bir:birmec:05-09
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