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Root reflection of an ARMA representation

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
Reflecting zeros across the unit circle can convert a noncausal or noninvertible ARMA representation to a causal invertible one with the same time-series spectral density. Scale the driving white noise variance according to the modulus factors. Define the new noise as a filter of the actual process; equality of two spectra alone proves equality of second-order structure, not equality of non-Gaussian laws. The resulting noise is weak white noise and need not be independent across time.

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  1. Autoregressive moving-average model
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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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