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Kybernetika 41(6):743-756, 2005.

On Invertibility of a Random Coefficient Moving Average Model

Tomáš Marek


Abstract:

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.


Keywords: non-linear time series; invertibility; random coefficient moving average;


AMS: 62M10; 62M09; 60G10;


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BIB TeX

@article{kyb:2005:6:743-756,

author = {Marek, Tom\'{a}\v{s} },

title = {On Invertibility of a Random Coefficient Moving Average Model},

journal = {Kybernetika},

volume = {41},

year = {2005},

number = {6},

pages = {743-756}

publisher = {{\'U}TIA, AV {\v C}R, Prague },

}


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