First-order autoregressive processes with time-dependent random parameters
Alena Koubková (1982)
Kybernetika
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First-order autoregressive processes with time-dependent random parameters
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On invertibility of a random coefficient moving average model
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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.