A simple characterization of optimal ARMA predictors

DOI10.1016/0167-6911(86)90131-3zbMath0575.93063OpenAlexW2018445271MaRDI QIDQ1064304

Raymond H. Kwong

Publication date: 1986

Published in: Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-6911(86)90131-3

zbMATH Keywords

ARMA processoptimal steady state k-step ahead predictor

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Filtering in stochastic control theory (93E11) Optimal stochastic control (93E20)

Related Items (3)

On a characterization of optimal predictors for nonstationary ARMA processes ⋮ An optimal prediction in general ARMA models ⋮ A simple characterization of optimal predictors for \(L^ 1\)-ARMA processes

Cites Work

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