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Journal of the Nigerian Association of Mathematical Physics

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Behavioural Pattern of Invertibility Parameter of Arima Model

Olusola Samuel Makinde

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 πi of the ARIMA (p, d, q) for various p and d. It was deduced that behaviour of invertibility parameter  πidepends 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



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