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)
Properties & Relations (2)
Every ARProcess is invertible:
The conditions for an ARMAProcess to be invertible depend only on the moving-average parameters:
Wolfram Research (2012), TimeSeriesInvertibility, Wolfram Language function, https://reference.wolfram.com/language/ref/TimeSeriesInvertibility.html.
Wolfram Language. 2012. "TimeSeriesInvertibility." Wolfram Language & System Documentation Center. Wolfram Research. https://reference.wolfram.com/language/ref/TimeSeriesInvertibility.html.
Wolfram Language. (2012). TimeSeriesInvertibility. Wolfram Language & System Documentation Center. Retrieved from https://reference.wolfram.com/language/ref/TimeSeriesInvertibility.html