| Title:
|
On invertibility of a random coefficient moving average model (English) |
| Author:
|
Marek, Tomáš |
| Language:
|
English |
| Journal:
|
Kybernetika |
| ISSN:
|
0023-5954 |
| Volume:
|
41 |
| Issue:
|
6 |
| Year:
|
2005 |
| Pages:
|
[743]-756 |
| Summary lang:
|
English |
| . |
| Category:
|
math |
| . |
| Summary:
|
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. (English) |
| Keyword:
|
non-linear time series |
| Keyword:
|
invertibility |
| Keyword:
|
random coefficient moving average |
| MSC:
|
60G10 |
| MSC:
|
62M09 |
| MSC:
|
62M10 |
| idZBL:
|
Zbl 1248.62154 |
| idMR:
|
MR2193863 |
| . |
| Date available:
|
2009-09-24T20:12:55Z |
| Last updated:
|
2015-03-23 |
| Stable URL:
|
http://hdl.handle.net/10338.dmlcz/135690 |
| . |
| Reference:
|
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| Reference:
|
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| Reference:
|
[3] Marek T.: Maximum likelihood estimation in the simple NLMA model.In: Proc. WDS’99 (J. Šafránková, ed.), Matfyzpress, Praha 1999, pp. 28–33 |
| Reference:
|
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| Reference:
|
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| Reference:
|
[6] Štěpán J.: Probability Theory (in Czech).Academia, Praha 1986 |
| Reference:
|
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| Reference:
|
[8] Tong H.: Nonlinear Time Series.Clarendon Press, Oxford 1990 Zbl 1037.62092, MR 1079320 |
| . |
