CAUSALITY AND INVERTIBILITY OF AUTOREGRESSIVE INTEGRATED MOVING AVERAGE (ARIMA) MODEL

Cite this:
Olaniyi Samuel Iyiola, S. B. F. (2013). CAUSALITY AND INVERTIBILITY OF AUTOREGRESSIVE INTEGRATED MOVING AVERAGE (ARIMA) MODEL. Asian Journal of Current Engineering and Maths, 2(4). Retrieved from http://innovativejournal.in/index.php/ajcem/article/view/186
© 2022 Interactive Protocols
RIGHTS & PERMISSIONS
Article Views
159
Altmetric
1
Citations
-
LEARN ABOUT THESE METRICS
   PDF  

Abstract

In this paper, we presented causal and inverted form of Autoregressive Integrated Moving Average processes (ARIMA) of various orders, causality and invertibility conditions were established and parameters of the ARIMA (p,d,q) model were estimated using Ordinary Least Square (OLS) approach. It was deduced from the causal form of ARMA (1,q) that every is a linear combination of and . Similarly, invertibility parameter of ARIMA (p,d,q) is sinusoidal and . Also, converges faster to zero than .

KEYWORDS:

 Special Issue

Article Metrics Graph

Chart Graph | Range Graph

Content

Section

Source

License

COPYRIGHT AGREEMENT AND AUTHORSHIP RESPONSIBILITY

 

All paper submissions must carry the following duly signed by all the authors:

“I certify that I have participated sufficiently in the conception and design of this work and the analysis of the data (wherever applicable), as well as the writing of the manuscript, to take public responsibility for it. I believe the manuscript represents valid work. I have reviewed the final version of the manuscript and approve it for publication. Neither has the manuscript nor one with substantially similar content under my authorship been published nor is being considered for publication elsewhere, except as described in an attachment. Furthermore I attest that I shall produce the data upon which the manuscript is based for examination by the editors or their assignees, if requested.”