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Necessary Conditions for the Application of Moving Average Process of Order Three

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ABSTRACT
Invertibility is one of the desirable properties of moving average processes. This study derives consequences of the invertibility condition on the parameters of a moving average process of order three. The study also establishes the intervals for the first three autocorrelation coefficients of the moving average process of order three for the purpose of distinguishing between the process and any other process (linear or nonlinear) with similar autocorrelation structure. For an invertible moving average process of order three, the intervals obtained are , -0.5<ρ2<0.5 and -0.5<ρ1<0.5.
 
Cite this paper
Okereke, O. , Iwueze, I. and Johnson, O. (2015) Necessary Conditions for the Application of Moving Average Process of Order Three. Applied Mathematics, 6, 173-181. doi: 10.4236/am.2015.61017.
 
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