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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
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Category: math
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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
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Date available: 2009-09-24T20:12:55Z
Last updated: 2015-03-23
Stable URL: http://hdl.handle.net/10338.dmlcz/135690
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