Time-Reversion of VARMA processes by polynomical methods
- Autores: Félix Aparicio Pérez, Victor Gómez Enríquez
- Localización: BEIO, Boletín de Estadística e Investigación Operativa, ISSN 1889-3805, Vol. 24, Nº. 3, 2008, págs. 23-26
- Idioma: inglés
- Enlaces
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Resumen
Time-reversion is a well known technique that is used in time series analysis since Box and Jenkins (1970) proposed to compute unconditional least-squares estimations by backcasting. However, in a multivariate setting its application relies on a state space formulation of the time series model and the use of some results about reversion in time of Markov processes. Given a VARMA process, this paper proposes a new polynomial methodology that can be used to provide a model for the timereversed process. A simple example is provided and some possible applications and extensions are also included.
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