On the invertibility of periodic moving-average models

Marc Hallin and Mohamed Bentarzi

ULB Institutional Repository from ULB -- Universite Libre de Bruxelles

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: 1994-05
Note: FLWNA
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Citations: View citations in EconPapers (7)

Published in: Journal of Time Series Analysis (1994) v.15 n° 3,p.263-268

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Journal Article: ON THE INVERTIBILITY OF PERIODIC MOVING‐AVERAGE MODELS (1994)
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