The recursive nature of the stationarity and invertibility restraints on the parameters of mixed autoregressive-moving average processes

DOI10.1093/BIOMET/62.3.704zbMath0319.60022OpenAlexW2073050287MaRDI QIDQ4082079

Oliver D. Anderson

Publication date: 1975

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/biomet/62.3.704

Mathematics Subject Classification ID

Stationary stochastic processes (60G10)

Related Items (6)

CHECKING STATIONARITY AND INVERTIBILITY IN TIME SERIES MODELS—FINDING THE INVERTIBLE FORM IN THE VECTOR CASE ⋮ THE SIZE OF THE STATIONARITY AND INVERTIBILITY REGION OF AN AUTOREGRESSIVE-MOVING AVERAGE PROCESS ⋮ A note on the asymptotic generalised variance for a moving average process ⋮ A further note on the stationarity and invertibility restraints on the parameters of mixed autoregressive moving average processes ⋮ Some efficient computational procedures for high order ARMA models ⋮ Implementation of the direct representation for the maximum likelihood estimator of a gaussian moving average process

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