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On transformations of multivariate ARMA processes. (English) Zbl 0637.62084
Summary: Transformations of multivariate ARMA processes are investigated such that they preserve the ARMA structure. A theorem is given that characterizes a multivariate ARMA process using a property of its covariance function. The theorem is applied to the linear transformation of a multivariate ARMA process and to the scalar product of two ARMA processes.
MSC:
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
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References:
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