On invertibility of a random coefficient moving average model

Tomáš Marek

Kybernetika (2005)

  • Volume: 41, Issue: 6, page [743]-756
  • ISSN: 0023-5954

Abstract

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A linear moving average model with random coefficients (RCMA) is proposed as more general alternative to usual linear MA models. The basic properties of this model are obtained. Although some model properties are similar to linear case the RCMA model class is too general to find general invertibility conditions. The invertibility of some special examples of RCMA(1) model are investigated in this paper.

How to cite

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Marek, Tomáš. "On invertibility of a random coefficient moving average model." Kybernetika 41.6 (2005): [743]-756. <http://eudml.org/doc/33785>.

@article{Marek2005,
abstract = {A linear moving average model with random coefficients (RCMA) is proposed as more general alternative to usual linear MA models. The basic properties of this model are obtained. Although some model properties are similar to linear case the RCMA model class is too general to find general invertibility conditions. The invertibility of some special examples of RCMA(1) model are investigated in this paper.},
author = {Marek, Tomáš},
journal = {Kybernetika},
keywords = {non-linear time series; invertibility; random coefficient moving average; nonlinear time series; random coefficients moving average},
language = {eng},
number = {6},
pages = {[743]-756},
publisher = {Institute of Information Theory and Automation AS CR},
title = {On invertibility of a random coefficient moving average model},
url = {http://eudml.org/doc/33785},
volume = {41},
year = {2005},
}

TY - JOUR
AU - Marek, Tomáš
TI - On invertibility of a random coefficient moving average model
JO - Kybernetika
PY - 2005
PB - Institute of Information Theory and Automation AS CR
VL - 41
IS - 6
SP - [743]
EP - 756
AB - A linear moving average model with random coefficients (RCMA) is proposed as more general alternative to usual linear MA models. The basic properties of this model are obtained. Although some model properties are similar to linear case the RCMA model class is too general to find general invertibility conditions. The invertibility of some special examples of RCMA(1) model are investigated in this paper.
LA - eng
KW - non-linear time series; invertibility; random coefficient moving average; nonlinear time series; random coefficients moving average
UR - http://eudml.org/doc/33785
ER -

References

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  1. Granger C. W. J., Andersen A. P., An Introduction to Bilinear Time Series Models, Vandenhoek and Ruprecht, Gottingen 1978 Zbl0379.62074MR0483231
  2. Granger C. W. J., Andersen A. P., On the invertibility of time series models, Stochastic Process. Appl. 8 (1978), 87–92 (1978) Zbl0387.62076MR0511877
  3. Marek T., Maximum likelihood estimation in the simple NLMA model, In: Proc. WDS’99 (J. Šafránková, ed.), Matfyzpress, Praha 1999, pp. 28–33 (1999) 
  4. McKenzie E., 10.2307/3213502, J. Appl. Probab. 19 (1982), 463–468 (1982) Zbl0491.60034MR0649988DOI10.2307/3213502
  5. Robinson P. M., The estimation of a nonlinear moving average models, Stochastic Process. Appl. 5 (1977), 81–90 (1977) MR0428654
  6. Štěpán J., Probability Theory (in Czech), Academia, Praha 1986 
  7. Tjøstheim D., 10.1111/j.1467-9892.1986.tb00485.x, J. Time Ser. Anal. 7 (1986), 51–72 (1986) MR0832352DOI10.1111/j.1467-9892.1986.tb00485.x
  8. Tong H., Nonlinear Time Series, Clarendon Press, Oxford 1990 Zbl1037.62092MR1079320

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