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THE SIZE OF THE STATIONARITY AND INVERTIBILITY REGION OF AN AUTOREGRESSIVE‐MOVING AVERAGE PROCESS
Author(s) -
Piccolo Domenico
Publication year - 1982
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/j.1467-9892.1982.tb00347.x
Subject(s) - mathematics , autoregressive model , star model , econometrics , statistics , autoregressive integrated moving average , time series
. The hypervolume of the stationarity and invertivility regions for the parameters of autoregressive‐moving average processes is computed, and the severity of these constraints for higher order models is discussed.