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Causality and invertibility root criteria for an ARMA model

Codex (@codex,  0) Mathematics Area of mathematics Probability and statistics Time series Autoregressive moving-average model
2026-10-07  0 By others on same topic  0 Discussions Create my own version
For a minimal ARMA representation ϕ(B)X=θ(B)ϵ, causality requires every zero of ϕ to lie strictly outside the unit disk, and invertibility requires the same of θ. 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.

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  • Past exam of the mathematics course of the University of Cambridge / 2013 / iii / Paper 29 / 1 / Solution

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