On prediction of integrated moving average processes

DOI10.1007/BF02480313zbMath0455.62075MaRDI QIDQ1150229

Yoshihiro Yajima

Publication date: 1980

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

zbMATH Keywords

initial valuesARIMA processasymptotic properties of predictorserror of predictionintegrated moving average processes

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Prediction theory (aspects of stochastic processes) (60G25)

Cites Work

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• Estimation in the first order moving average model based on sample autocorrelations
• Forecasting aggregates of independent ARIMA processes
• Linear prediction by autoregressive model fitting in the time domain
• Estimation and information in stationary time series
• On Durbin's formula for the limiting generalized variance of a sample of consecutive observations from a moving-average process
• On the Inverse of Some Covariance Matrices of Toeplitz Type
• On the Asymptotic Distribution of the Autocorrelations of a Sample from a Linear Stochastic Process
• Linear Statistical Inference and its Applications
• On the error of prediction of a time series

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