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Spectrum of randomly sampled multivariate ARMA models. (English) Zbl 1274.62633
Summary: The paper is devoted to the spectrum of multivariate randomly sampled autoregressive moving-average (ARMA) models. We determine precisely the spectrum numerator coefficients of the randomly sampled ARMA models. We give results when the non-zero poles of the initial ARMA model are simple. We first prove the results when the probability generating function of the random sampling law is injective, then we precise the results when it is not injective.
MSC:
62M15 Inference from stochastic processes and spectral analysis
60G10 Stationary stochastic processes
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