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On the invertibility of periodic moving-average models

par Hallin, Marc ;Bentarzi, Mohamed
Référence Journal of Time Series Analysis, 15, 3, page (263-268)
Publication Publié, 1994-05

Article révisé par les pairs

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Résumé :

A sufficient condition for the invertibility of univariate periodic moving-average models has been given by Cipra and Ghysels and Hall. We show that this condition is not a necessary one, and provide a necessary and sufficient condition for the general m-variate, d-periodical moving-average MA(q) case.