Necessary Conditions for the Application of Moving Average Process of Order Three
Necessary Conditions for the Application of Moving Average Process of Order Three作者机构：Department of Statistics Michael Okpara University of Agriculture Umudike Nigeria Department of Statistics Federal University of Technology Owerri Nigeria Department of Mathematics Computer Science and Informatics Federal University Otueke Nigeria
出 版 物：《Applied Mathematics》 (应用数学（英文）)
年 卷 期：2015年第6卷第1期
页 面：173-181页
学科分类：07[理学] 0701[理学-数学] 070101[理学-基础数学]
主 题：Moving Average Process of Order Three Characteristic Equation Invertibility Condition Autocorrelation Coefficient Second Derivative Test
摘 要：Invertibility is one of the desirable properties of moving average processes. This study derives consequences of the invertibility condition on the parameters of a moving average process of order three. The study also establishes the intervals for the first three autocorrelation coefficients of the moving average process of order three for the purpose of distinguishing between the process and any other process (linear or nonlinear) with similar autocorrelation structure. For an invertible moving average process of order three, the intervals obtained are , -0.5ρ2ρ10.5.
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