JSM 2004 - Toronto

Abstract #300460

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Activity Number: 57
Type: Contributed
Date/Time: Sunday, August 8, 2004 : 4:00 PM to 5:50 PM
Sponsor: Business and Economics Statistics Section
Abstract - #300460
Title: Representation of Multiplicative Vector Autoregressive Moving Average Processes
Author(s): Ceylan Yozgatligil*+ and William W.S. Wei
Companies: Temple University and Temple University
Address: Speakman Hall 006-00, Philadelphia, PA, 19122-6083,
Keywords: multiplicative vector autoregressive moving average process ; VARMA process ; estimation ; forecasting ; causality
Abstract:

Time series often contains observations of several variables, and multivariate vector time-series processes are used to study the relationship between these variables. There are many studies on vector autoregressive moving average (VARMA) processes, but studies on representation of multiplicative VARMA processes are nonexistent. In multiplicative vector processes, for example, in the seasonal VARMA process, there can be different representations for the process because of the noncommutative property of matrix multiplication. We carefully examine the consequences of different presentations on parameter estimation, forecasting, and causality. From these examinations, we will introduce a summary statistic that is useful in determining the best representation for a multiplicative vector process.

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