Spectrum of randomly sampled multivariate ARMA models

Kadi, Amina

Kybernetika, Tome 34 (1998) no. 3, pp. 317-333

Abstract (VO)

The paper is devoted to the spectrum of multivariate randomly sampled autoregressive moving-average (ARMA) models. We determine precisely the spectrum numerator coefficients of the randomly sampled ARMA models. We give results when the non-zero poles of the initial ARMA model are simple. We first prove the results when the probability generating function of the random sampling law is injective, then we precise the results when it is not injective.

Détail

Classification : 60G10, 62M10, 62M15
Keywords: ARMA model; spectral analysis

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