Article ID Journal Published Year Pages File Type
1145781 Journal of Multivariate Analysis 2013 12 Pages PDF
Abstract

We obtain necessary and sufficient conditions for the existence of strictly stationary solutions of ARMA equations in Banach spaces with independent and identically distributed noise under certain assumptions. First, we obtain conditions for ARMA(1,q) equations by excluding zero and the unit circle from the spectrum of the operator of the AR part. We then extend this to ARMA(p,q) equations. Finally, we discuss various examples.

Related Topics
Physical Sciences and Engineering Mathematics Numerical Analysis
Authors
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