THE SIZE OF THE STATIONARITY AND INVERTIBILITY REGION OF AN AUTOREGRESSIVE-MOVING AVERAGE PROCESS

DOI10.1111/j.1467-9892.1982.tb00347.xzbMath0502.62075OpenAlexW2144312060MaRDI QIDQ3968336

Domenico Piccolo

Publication date: 1982

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1982.tb00347.x

zbMATH Keywords

hypervolumeautoregressive-moving average processinvertibility regionstationarity regions

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (2)

Bayesian analysis of autoregressive time series with change points ⋮ Generating random \(\mathrm{AR}(p)\) and \(\mathrm{MA}(q)\) Toeplitz correlation matrices

Cites Work

• Characterization of the partial autocorrelation function
• On the parametrization of autoregressive models by partial autocorrelations
• Stationarity conditions for stochastic processes of the autoregressive and moving-average type
• THE APPROXIMATE DISTRIBUTION OF SERIAL CORRELATION COEFFICIENTS
• The recursive nature of the stationarity and invertibility restraints on the parameters of mixed autoregressive-moving average processes
• A new look at the statistical model identification

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