Mixed autoregressive-moving average multivariate processes with time-dependent coefficients
Conditions for mixed autoregressive-moving average processes with time-dependent coefficients to be purely nondeterministic and invertible can be obtained from classical difference equations theory. These conditions involve one-sided Green's functions or their matricial equivalents. A recursive computation of these functions is proposed, which allows one to drop the assumption of nondegeneracy classicaly made about the highest order matrix of difference operators; it constitutes thus a generalized definition of these functions.
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|Date of creation:||1978|
|Date of revision:|
|Publication status:||Published in: Journal of Multivariate Analysis (1978) v.8,p.567-572|
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