Time Series – How to Determine the Sum of Autoregressive Processes

self-studytime series

I am working on a research topic where I need to add together two AR processes and I was wondering if the distribution of these processes is of a recognizable form/structure. More formally, if $x_t$ is a AR(p) process with characteristic polynomial $\Phi_x(u)$ and $y_t$ is a AR(q) process with characteristic polynomial $\Phi_y(u)$, then what is the structure of $z_t=x_t+y_t$?

Best Answer

This was studied by Granger and Morris (1976) who showed that

AR($p$) + AR($q$) = ARMA($p+q,\max(p,q)$).