Dual and inverse ARMA processes and application to time reversibility

作者：El Ghini Ahmed^*

来源：Comptes Rendus Mathematique, 2010, 348(1-2): 85-88.

DOI：10.1016/j.crma.2009.11.002

For the class of autoregressive-moving average (ARMA) processes, the relationship between the dual and the inverse processes is examined. It is shown that the inverse process generated by a causal and invertible ARMA(p, q) process is a causal and invertible ARMA(q, p). Moreover, it is established that this representation is strong if and only if the generating process is Gaussian. Some examples and applications to time reversibility are given to illustrate these theoretical results.

• 出版日期2010-1