Behavioural Pattern of Invertibility Parameter of Arima Model

Abstract

In this paper, we present an inverted form of Autoregressive Integrated Moving Average processes (ARIMA) of various orders. Investigation was carried out on the behavioural pattern of invertibility parameter π_i of the ARIMA (p, d, q) for various p and d. It was deduced that behaviour of invertibility parameter  π_idepends on the order of autoregressive part (p), the order of integrated part (d), positive and negative values of moving average parameter (ϑ).

Journal of the Nigerian Association of Mathematical Physics, Volume 19 (November, 2011), pp 591 – 606