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MEMBERS OF RESEARCH CENTER
Research Centre
Data - Algorithms - Decision Making
Data - Algorithms - Decision Making
Established in 2005 under support of MŠMT ČR (project 1M0572)
Publications
On invertibility of a random coefficient moving average model
Typ:
Jornal article
Authors:
Name of journal:
Kybernetika
Volume:
41
Year:
2005
Number:
6
Pages:
743-756
ISSN:
0023-5954
Keywords:
invertibility, random coefficient moving average
Anotation:
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.