• Corpus ID: 251467998

Partial autocorrelation parameterisation of models with unit roots on the unit circle

@inproceedings{Halliday2022PartialAP,
  title={Partial autocorrelation parameterisation of models with unit roots on the unit circle},
  author={Jamie Halliday and Georgi N. Boshnakov},
  year={2022}
}
Tiao and Tsay (1983) refer to this model as a nonstationary ARMAmodel. Huang and Anh (1990) call this model autoregressive unit root moving average (ARUMA), see also Woodward et al. (2017). Here {εt} is white noise, B is the backward shift operator and all roots of the polynomials φ(z) and θ(z) are outside the unit circle. The nonstationary part is specified by the polynomial U(z) = 1−U1z−U2z −· · ·−Udz d whose all roots have moduli 1 (i.e., lie on the unit circle). Traditionally the polynomial… 

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  • 2022