On the Rate of Convergence of the Innovation Representation of a Moving Average Process
研究了当移动平均多项式有单位圆上的根时，其创新表示系数的收敛速度，发现系数差为O(1/t)，并推广到混合自回归移动平均和多元模型。
A moving average process of order q can be written as a linear combination of the (q+1) most recent innovations. We show that if the moving average polynomial has roots on the unit circle, then the coefficients of the innovations tend to the true moving average coefficients, the difference between the two being O (1/t), where t is the number of observations we consider. The results are extended to mixed autoregressive moving average models and multivariate models.