DocumentCode
3158679
Title
The Moments of a Vector Autoregressive Moving Average Time Series
Author
Vu, Ky M.
Author_Institution
AuLac Technol. Inc., Ottawa
fYear
2007
fDate
9-13 July 2007
Firstpage
1057
Lastpage
1061
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;
fLanguage
English
Publisher
ieee
Conference_Titel
American Control Conference, 2007. ACC '07
Conference_Location
New York, NY
ISSN
0743-1619
Print_ISBN
1-4244-0988-8
Electronic_ISBN
0743-1619
Type
conf
DOI
10.1109/ACC.2007.4282151
Filename
4282151
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