On a lemma associated with Box,Jenkins and Granger |
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Authors: | OD Anderson |
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Institution: | Civil Service College, London, England |
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Abstract: | The lemma that the aggregate of independent moving average processes is also moving average is discussed, and a simple proof presented. This proof depends on the fact that, for any order q, the vectors of MA autocorrelations (?1…?q) occupy a convex space. |
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