ARIMA Stationarity and Invertibility Conditions
Posted: Sun Aug 30, 2009 2:22 pm
Hello!
A very general question. From various sources, I get different information about the stationarity and invertibility conditions for any ARIMA model.
Consider the following ARMA process:
Yt = a1*Yt-1 + a2*Yt-2 + ... + ap*Yt-p + Et + m1*Et-1 + m2*Et-2 + ... + mq*Et-q
Are the stationarity and invertibility conditions such that |ai| < 1 and |mi| < 1, or Sum(ai) < 1 and Sum(mi) < 1?
Thanks for your help!
A very general question. From various sources, I get different information about the stationarity and invertibility conditions for any ARIMA model.
Consider the following ARMA process:
Yt = a1*Yt-1 + a2*Yt-2 + ... + ap*Yt-p + Et + m1*Et-1 + m2*Et-2 + ... + mq*Et-q
Are the stationarity and invertibility conditions such that |ai| < 1 and |mi| < 1, or Sum(ai) < 1 and Sum(mi) < 1?
Thanks for your help!