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Necessary Conditions for the Application of Moving Average Process of Order Three
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
- 1 Department of Statistics, Michael Okpara University of Agriculture, Umudike, Nigeria
- 2 Department of Statistics, Federal University of Technology, Owerri, Nigeria
- 3 Department of Mathematics, Computer Science and Informatics, Federal University, Otueke, Nigeria
Applied Mathematics·Volume 06 (2015)·Pages 173–181·Published 7 January 2015·DOI10.4236/am.2015.61017
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Abstract
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 , -0.5< ρ 2 <0.5 and -0.5< ρ 1 <0.5.
KeywordsMoving Average Process of Order ThreeCharacteristic EquationInvertibility ConditionAutocorrelation CoefficientSecond Derivative Test
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