Spectral factorization of periodically correlated MA(1) processes
Marc Hallin () and
ULB Institutional Repository from ULB -- Universite Libre de Bruxelles
The spectral factorization problem, i.e. the problem of obtaining all possible MA representations of a process with given autocovariance function, is considered for univariate, d-periodic MA(1) (equivalently, 1-dependent in the second-order sense) processes. The solutions are provided explicitly, and their invertibility properties are investigated. A characterization, in terms of their autocovariance functions, of non-invertible d-periodic 1-dependent processes, extending to the periodic case the traditional unit root condition, is provided. © 1998 Applied Probability Trust.
Keywords: Invertibility; Moving average models; Periodic models (search for similar items in EconPapers)
Note: SCOPUS: ar.j
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Published in: Journal of Applied Probability (1998) v.35,p.48-54
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Persistent link: https://EconPapers.repec.org/RePEc:ulb:ulbeco:2013/2073
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