par Hallin, Marc ;Bentarzi, Mohamed
Référence Journal of Applied Probability, 35, page (48-54)
Publication Publié, 1998
Article révisé par les pairs
Résumé : The spectral factorization problem, i.e. the problem of obtaining all possible MA representations of a process with given autocovariance function, is considered for univariate, d-periodic MA(1) (equivalently, 1-dependent in the second-order sense) processes. The solutions are provided explicitly, and their invertibility properties are investigated. A characterization, in terms of their autocovariance functions, of non-invertible d-periodic 1-dependent processes, extending to the periodic case the traditional unit root condition, is provided. © 1998 Applied Probability Trust.