Department of Mathematics , Nottingham Univeristy , Now with the Civil Service College, 11 Belgrave Road, London, SWIV 1RB, England
Abstract:
Box and JENKINS introduced the concept of invertibility for reasons which are argued to be largely irrelevant. However, the concept has some value since the boundary between invertible and ”strongly“ non-invertible moving average paramter sets, gives rise to bounds on the autocorrelations. As well as being of academic interest, these bounds may be useful for identifying processes.