THE REAL PART OF A COMPLEX ARMA PROCESS

B-Tier
Journal: Econometric Theory
Year: 2007
Volume: 23
Issue: 3
Pages: 537-545

Score contribution per author:

2.011 = (α=2.01 / 1 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

In what follows all processes referred to are weakly stationary. Let us call the real part of a complex ARMA(p,q) process a Re CARMA(p,q) process. Every real ARMA(p,q) process can trivially be written as a Re CARMA(p,q) process. Provided the moment properties of complex linear processes are appropriately specified, the following inverse result is available: every Re CARMA(p,q) process is spectrally equivalent to a real ARMA(2p,p + q) process or some simpler process. Thus the ARMA and Re CARMA classes are spectrally equivalent. The question of whether an ARMA or a Re CARMA parametrization is better in a given context then arises. If cyclicality is present, and especially if we wish to treat cycles, growth, and decay together, in a model whose parameters are easy to interpret, then a Re CARMA approach may be helpful.The author thanks Paolo Paruolo, A.M. Robert Taylor, and an anonymous referee for helpful suggestions.

Technical Details

RePEc Handle
repec:cup:etheor:v:23:y:2007:i:03:p:537-545_07
Journal Field
Econometrics
Author Count
1
Added to Database
2026-01-24