Geodesic
On invertibility of a random coefficient moving average model
Kybernetika, Tome 41 (2005) no. 6, p. [743].

Voir la notice de l'article provenant de la source Czech Digital Mathematics Library

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 
@article{KYB_2005__41_6_a4,
     author = {Marek, Tom\'a\v{s}},
     title = {On invertibility of a random coefficient moving average model},
     journal = {Kybernetika},
     pages = {[743]},
     publisher = {mathdoc},
     volume = {41},
     number = {6},
     year = {2005},
     mrnumber = {2193863},
     zbl = {1248.62154},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/KYB_2005__41_6_a4/}
}
TY  - JOUR
AU  - Marek, Tomáš
TI  - On invertibility of a random coefficient moving average model
JO  - Kybernetika
PY  - 2005
SP  - [743]
VL  - 41
IS  - 6
PB  - mathdoc
UR  - http://geodesic.mathdoc.fr/item/KYB_2005__41_6_a4/
LA  - en
ID  - KYB_2005__41_6_a4
ER  - 
%0 Journal Article
%A Marek, Tomáš
%T On invertibility of a random coefficient moving average model
%J Kybernetika
%D 2005
%P [743]
%V 41
%N 6
%I mathdoc
%U http://geodesic.mathdoc.fr/item/KYB_2005__41_6_a4/
%G en
%F KYB_2005__41_6_a4
Marek, Tomáš. On invertibility of a random coefficient moving average model. Kybernetika, Tome 41 (2005) no. 6, p. [743]. http://geodesic.mathdoc.fr/item/KYB_2005__41_6_a4/