The time series concept of invertibility
Author:
O.D. Anderson a
| Affiliation: | a Department of Mathematics, Nottingham Univeristy, London, England |
DOI:
10.1080/02331887708801385
Publication Frequency:
6 issues per year
Subjects:
Mathematical Statistics;
Statistical Theory & Methods;
Statistics;
Statistics for the Biological Sciences;
Stochastic Models & Processes;
Formats available:
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(English)
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Abstract
Box and JENKINS introduced the concept of invertibility for reasons which are argued to be largely irrelevant. However, the concept has some value since the boundary between invertible and ”strongly“ non-invertible moving average paramter sets, gives rise to bounds on the autocorrelations. As well as being of academic interest, these bounds may be useful for identifying processes.
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| Keywords: Autocorrelation; Autocorrelation Inequalities; Autoregressive and Moving Average Processes; Backshift Operator; Borderline Non-Invertibility; Box-JEN-KINS Analysis |
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