For a general stationary ARMA(<italic>p,q</italic>) process <italic>u</italic> we derive the <italic>exact</italic> form of the orthogonalizing matrix <italic>R</italic> such that <italic>R</italic>′<italic>R</italic> = Σ⁻¹, where Σ = <italic>E</italic>(<italic>uu</italic>′) is the covariance matrix of <italic>u</italic>, generalizing the known formulae for <italic>AR</italic>(<italic>p</italic>) processes. In a linear regression model with an ARMA(<italic>p,q</italic>) error process,...

Many processes can be represented in a simple form as infinite-order linear series. In such cases, an approximate model is often derived as a truncation of the infinite-order process, for estimation on the finite sample. The literature contains a number of asymptotic distributional results for...