Stationarity and invertibility regions for low order starma models |
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Authors: | Phillip E Pfeifer Stuart Jay Deutsch |
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Institution: | School of Industrial and Systems Engineering , Georgia Institute of Technology , Atlanta, 30332, Georgia |
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Abstract: | The building of STARMA, space-time autoregressive moving average, models requires a working knowledge of the conditions under which a particular model represents a stationary process. Constraints on the parameter space that ensure stationarity are developed for all STARMA models of autoregressive temporal order le*ss than or equal to two and spatial order less than or equalto one when the model form utilizes scaled weights. Invertibility conditions for these same models are also given. |
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Keywords: | space-time autoregrcssive moving average models invertibility condtions |
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