Abstract
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.
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