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Invertible time-series representation (ϵt​=∑r≥0​br​Xt−r​)

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
An invertible time-series representation reconstructs the driving white noise from present and past observations. The stable convention requires absolute summability of the inverse coefficients. A convergent bilateral inverse using future observations does not establish this one-sided property.

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  • Invertible time-series representation
  • Past exam of the mathematics course of the University of Cambridge / 2013 / iii / Paper 29 / 1 / ii / Solution

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