When ARMA is well defined?
Given the steady state output of the recursive equation defined by the transfer function $W(z)$ fed by the stochastic process $v(t)$: $$y(t)=W(z)v(t)$$ Then $y(t)$ is well defined iff:
- $v(t)$ is stationary
- $W(z)$ is assintotically stable
So ARMA process $y(t)=W(z)e(t)$ with $e(t) \sim WN(0,\lambda^2)$ is well defined if $W(z)$ is assintotically stable (because the white noise is stationary by definition).
Idea of proof
- Suppose $A(z)=1$: $$y(t)=C(z)v(t)=c_0v(t)+c_1v(t-1)+...+c_nv(t-n)$$ the result is true by direct verification.
- Suppose: $$y(t)=\frac{1}{1-az^{-1}}v(t)=\frac{z}{z-a}v(t)$$ then there is a single pole $z=a$ and a direct computation of the steady state solution reveals that if $|a|<1$ then $y(t)$ is well defined and stationary.
- Consider now the general case: $$y(t)=\frac{C(z)}{A(z)}v(t)=\frac{C(z)}{(z-p_1)(z-p_2)...(z-p_m)}v(t)=C(z)\frac{1}{(z-p_1)}\frac{1}{(z-p_2)}...\frac{1}{(z-p_m)}v(t)$$ it is a series of simple operators which correspond to case 1 or 2.
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