signaflo / java-timeseries

Time series analysis in Java
MIT License
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Convert non-invertible MA to invertible MA during parameter estimation #9

Open signaflo opened 6 years ago

signaflo commented 6 years ago

Any non-invertible MA model can be converted to an invertible one, except when the roots lie exactly on the unit circle. The algorithm for doing so first needs to be discovered and explained, and then implemented.