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Spectral factorization of periodically correlated MA(1) processes

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  • Marc Hallin
  • Mohamed Bentarzi

Abstract

The spectral factorization problem, i.e. the problem of obtaining all possible MA representations of a process with given autocovariance function, is considered for univariate, d-periodic MA(1) (equivalently, 1-dependent in the second-order sense) processes. The solutions are provided explicitly, and their invertibility properties are investigated. A characterization, in terms of their autocovariance functions, of non-invertible d-periodic 1-dependent processes, extending to the periodic case the traditional unit root condition, is provided. © 1998 Applied Probability Trust.

Suggested Citation

  • Marc Hallin & Mohamed Bentarzi, 1998. "Spectral factorization of periodically correlated MA(1) processes," ULB Institutional Repository 2013/2073, ULB -- Universite Libre de Bruxelles.
  • Handle: RePEc:ulb:ulbeco:2013/2073 Note: SCOPUS: ar.j
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