An Integral Causality Criterion for Autoregressive and Moving average Processes
DOI:
https://doi.org/10.59741/agraria.v10i3.474Keywords:
Autoregressive moving average, stationary time series, an integral of a function, unit circle, linear polynomialAbstract
This work is about the causality of an autoregressive and moving average (arma) process. The importance of this idea to determine the autocovariance function of the process is analyzed, and an algebraic criterion for the causality of a second order autoregressive polynomial is briefly discussed; such a criterion is frequently stated in the literature, and it is proved that is not valid in general. The main contribution of the job is the formulation of a new causality criterion in terms of a complex integral on the unit circle.
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