A simple characterization of optimal predictors for \(L^ 1\)-ARMA processes

DOI10.1016/0167-6911(89)90060-1zbMath0682.62071OpenAlexW1538792286MaRDI QIDQ1824334

Aleksander Kowalski, Dominik Szynal

Publication date: 1989

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

Full work available at URL: https://doi.org/10.1016/0167-6911(89)90060-1

zbMATH Keywords

Wold decompositioncharacterization of predictorscomplex-valued ARMA process

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

• A simple characterization of optimal ARMA predictors
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