gives conditions for the time series process tproc to be invertible.
- A time series process is invertible if it can be written as an autoregressive time series, possibly of infinite order, such that the autoregressive coefficients are absolutely summable.
- An invertible time series representation with preserved moments can be found using ToInvertibleTimeSeries.
- TimeSeriesInvertibility can be used with time series processes such as MAProcess, ARMAProcess, ARIMAProcess, and FARIMAProcess.
Examplesopen allclose all
Basic Examples (2)
Introduced in 2012