ON THE INVERTIBILITY OF PERIODIC MOVING‐AVERAGE MODELS

Mohamed Bentarzi and Marc Hallin

Journal of Time Series Analysis, 1994, vol. 15, issue 3, 263-268

Abstract: Abstract. 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.

Date: 1994
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https://doi.org/10.1111/j.1467-9892.1994.tb00191.x

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Working Paper: On the invertibility of periodic moving-average models (1994)
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