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In the Forecasting: principles and practice book they claim that:

R ensures the fitted model is both stationary and invertible

I checked and indeed - for example the following model fits, even though the data are not stationary and I should have differenced:

library(fpp2)
fit2 <- arima(taylor, order=c(1,0,1), 
        include.mean = TRUE, transform.pars=FALSE)
1/forecast:::arroots(fit2)$roots
autoplot(fit2)

and the AR inverse root is 0.9813966+0i, which is a bad sign according to the text.

but HOW do they do it? When I try fitting the same model with python's statsmodels it fails. What's the technique used for ensuring stationarity and invertibility?

Note that transform.pars=FALSE so it's not that.

ihadanny
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  • See my answer at https://stats.stackexchange.com/a/432342/919, which includes code for changing a non-invertible MA model into an invertible one. – whuber Nov 02 '19 at 19:29
  • thanks! what do you mean by `using the reciprocals of the roots inside the unit circle and rescaling the polynomial to have a constant term of 1`? can you be more specific about what to do and why will it always work – ihadanny Nov 02 '19 at 21:18
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    My answer was *very* specific about that by providing code to carry out the calculations (which is only two lines long!). "Rescaling" means multiplying by a constant, as executed by the line `coeff – whuber Nov 02 '19 at 22:07
  • @whuber - ok, I now understand the mechanism you suggest for transforming a non-invertible process to an invertible one. I understand that this will preserve the statistical properties of the process (i.e. the mean and the auto-covariance), but won't it be a **different** process than the one we fitted? Won't the residuals be different and the quality of our fit to the data be different? – ihadanny Nov 06 '19 at 07:32
  • Actually not. The fit and residuals will not differ. That's why the various versions of the process cannot be distinguished by the data alone. – whuber Nov 06 '19 at 13:39
  • @whuber - wow! can you explain why? or would you rather I open a separate question for that? – ihadanny Nov 06 '19 at 21:16

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