Title :
The Moments of a Vector Autoregressive Moving Average Time Series
Author_Institution :
AuLac Technol. Inc., Ottawa
Abstract :
The formulae for the autocovariances of a Vector Auto Regressive Moving Average (VARMA) time series and the cross-covariances of two VARMA time series with a common white noise are obtained. A method to calculate these moments is suggested and illustrated with some examples. The method can also be used for a scalar ARM A time series where some matrix polynomials reduce to appropriate scalar polynomials.
Keywords :
autoregressive moving average processes; polynomial matrices; time series; white noise; ARM; cross-covariances; matrix polynomials; vector autoregressive moving average time series; white noise; Cities and towns; Equations; Polynomials; Random variables; Stochastic processes; White noise;
Conference_Titel :
American Control Conference, 2007. ACC '07
Conference_Location :
New York, NY
Print_ISBN :
1-4244-0988-8
Electronic_ISBN :
0743-1619
DOI :
10.1109/ACC.2007.4282151
