A note on the modelling and analysis of vector ARMA processes with nonstationary innovations

This paper considers the modelling and analysis of nonstationary vector ARMA processes from the theoretical point of view. Some extensions to the existing work (see, for example [1,2]) incorporating the nonstationarity of the underlying process are given using models with nonstationary innovations. It is shown that this class of models provides a very strong framework for many practical situations. The estimation procedures are discussed. Various prediction results are also given. Some examples are added to illustrate the theory. Crown copyright (C) 2002 Published by Elsevier Science Ltd. All rights reserved.