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ON THE INVERTIBILITY OF PERIODIC MOVING‐AVERAGE MODELS
Author(s) -
Bentarzi Mohamed,
Hallin Marc
Publication year - 1994
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.1467-9892.1994.tb00191.x
Subject(s) - mathematics , univariate , moving average , random variate , periodic function , mathematical analysis , statistics , multivariate statistics , random variable
. A sufficient condition for the invertibility of univariate periodic moving‐average models has been given by Cipra and Ghysels and Hall. We show that this condition is not a necessary one, and provide a necessary and sufficient condition for the general m ‐variate, d ‐periodical moving‐average MA( q ) case.