CAUSALITY AND INVERTIBILITY OF AUTOREGRESSIVE INTEGRATED MOVING AVERAGE (ARIMA) MODEL

Abstract

In this paper, we presented causal and inverted form of Autoregressive Integrated Moving Average processes (ARIMA) of various orders, causality and invertibility conditions were established and parameters of the ARIMA (p,d,q) model were estimated using Ordinary Least Square (OLS) approach. It was deduced from the causal form of ARMA (1,q) that every is a linear combination of and . Similarly, invertibility parameter of ARIMA (p,d,q) is sinusoidal and . Also, converges faster to zero than .