THE SUM OF FINITE MOVING AVERAGE PROCESSES

Abstract. It is well known that the sum of moving average processes is itself a moving average process. Existing theory does not provide formulae relating the innovations in the sum process to those in the component processes when some zeros of the autocovari-ance function of the sum process are on the unit circle. This gap is filled here by first showing that these zeros are necessarily shared by the component processes. Conditions for the innovations in the sum process to be current are given. Throughout the paper contemporary innovations in the component processes are allowed to be correlated, replacing the usual assumption that they are uncorrelated.