WHY DO NONINVERTIBLE ESTIMATED MOVING AVERAGES OCCUR?*

T. W. Anderson and Akimichi Takemura

Journal of Time Series Analysis, 1986, vol. 7, issue 4, 235-254

Abstract: Abstract. The positive probability that an estimated moving average process is noninvertible is studied for maximum likelihood estimation of a university process. Upper and lower bounds for the probability in the first‐order case are obtained as well as limits when the sample size tends to infinity. Higher order moving average models and autoregressive moving average models are also treated.

Date: 1986
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