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Bibliography

Journal Article

On invertibility of a random coefficient moving average model

Marek Tomáš

: Kybernetika vol.41, 6 (2005), p. 743-756

: CEZ:AV0Z10750506

: KSK1019101, GA AV ČR, 1M0572, GA MŠk

: non-linear time series, invertibility, random coefficient, moving average

(eng): 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 propreties 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.

(cze): Jako zobecnění lineárního modelu klouzavých součtů MA je navržen model klouzavých součtů s náhodnými koeficienty (RCMA). Jsou odvozeny některé jeho základní vlastnosti, speciálně je studována invertibilita modelu RCMA(1).

: 12A

: BA