an:04039069
Zbl 0637.62084
Linka, Ale??
On transformations of multivariate ARMA processes
EN
Kybernetika 24, No. 2, 122-129 (1988).
00167268
1988
j
62M10
Transformations of multivariate ARMA processes; ARMA structure; covariance function; linear transformation; scalar product of two ARMA processes
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.