Geodesic
On invertibility of a random coefficient moving average model
Kybernetika, Tome 41 (2005) no. 6, pp. 743-756 Cet article a éte moissonné depuis la source Czech Digital Mathematics Library

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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.
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.
Classification : 60G10, 62M09, 62M10
Keywords: non-linear time series; invertibility; random coefficient moving average 
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     author = {Marek, Tom\'a\v{s}},
     title = {On invertibility of a random coefficient moving average model},
     journal = {Kybernetika},
     pages = {743--756},
     year = {2005},
     volume = {41},
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     zbl = {1248.62154},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/KYB_2005_41_6_a4/}
}
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Marek, Tomáš. On invertibility of a random coefficient moving average model. Kybernetika, Tome 41 (2005) no. 6, pp. 743-756. http://geodesic.mathdoc.fr/item/KYB_2005_41_6_a4/

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