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The Moments of a Vector Autoregressive Moving Average Time Series

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1 Author(s)
Ky M. Vu ; AuLac Technologies Inc.

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.

Published in:

2007 American Control Conference

Date of Conference:

9-13 July 2007