C48. Invertibility
What does invertibility mean for a moving-average model? State the root condition for a finite-order model.
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Definitions/notation. An MA model is invertible when its innovations can be recovered as a stable, convergent linear filter of current and past observations. For a finite-order model with MA polynomial b(z)=1+b_1z+\cdots+b_qz^q, the usual invertibility condition is that every root has modulus greater than one.