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On Causality And Invertibility Parameters of Some Classes Of Autoregressive Moving Average Models |
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PP: 15-22 |
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doi:10.18576/jsapl/080102
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Author(s) |
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O. K. Agunloye,
K. K. Ajibodu,
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Abstract |
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| Causality and invertibility conditions are two standard model specifications decision imposed on autoregressive moving average (ARMA) processes to guarantee a well-defined ARMA model having a unique autocovariance and autocorrelation structure required for parameter estimation and statistical inference. In this paper,we investigated the behavioural pattern of causality parameters of a class of ARMA (1, q) models and the behavioural pattern of invertibility parameters of a class of ARMA (p, 1) models.In both cases, we derived the causality parameters of ARMA (1, q) models and invertibility parameters of ARMA (p, 1) models.
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