A1800
Title: Hessenbergians over a matrix ring: Analyzing VARMA models with variable coefficient matrices
Authors: Menelaos Karanasos - Brunel University (United Kingdom) [presenting]
Abstract: For the large family of multivariate ARMA models with variable coefficients, an explicit and computationally tractable solution is obtained that generates all their fundamental properties, including the multivariate Wold-Cramer decomposition and their covariance structure, thus unifying the invertibility conditions which guarantee both their asymptotic stability and main properties. The one-sided Green's matrix, associated with the homogeneous solution, is expressed as an Nth dimensional banded Hessenbergian formulated exclusively in terms of the autoregressive coefficient matrices of the model. The proposed methodology allows for a unified treatment of these time-varying multivariate systems.
