Linear transformations of vector ARMA processes
type: Item
instance of: scholarly article
title: Linear transformations of vector ARMA processes
zbMATH Open document ID: 0555.62072
DOI: 10.1016/0304-4076(84)90023-X
published in: Journal of Econometrics
publication date: 1984-01-01T00:00:00Z
review text: Linear transformations of stochastic processes are used in many ways in economic analyses, for example when linear aggregates or subprocesses are considered. It is demonstrated that a linear transformation of a vector ARMA process is again an ARMA process and conditions for stationarity are given. Three different predictors for a linearly transformed process are compared. Forecasting the original process and transforming the predictions is superior to forecasting the transformed process directly and to transforming univariate predictions of the components of the original process. Conditions for equality of the three different forecasts are provided.
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62M20
Mathematics Subject Classification ID: 62P20
zbMATH DE Number: 3885160
zbMATH Keywords: linear transformations of vector ARMA procsses
zbMATH Keywords: comparison of predictors
zbMATH Keywords: conditions for stationarity
author: Helmut Lütkepohl
MaRDI profile type: Publication
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description: scientific article; zbMATH DE number 3885160