Causality and invertibility root criteria for an ARMA model
ID: causality-and-invertibility-root-criteria-for-an-arma-model
For a minimal ARMA representation , causality requires every zero of to lie strictly outside the unit disk, and invertibility requires the same of . This makes the transfer function and its reciprocal analytic on a disk larger than the unit disk, giving geometrically decreasing one-sided filter coefficients. Cancel common factors before applying the criterion to the noise-driven representation.
New to topics? Read the docs here!