On a characterization of optimal predictors for nonstationary ARMA processes

DOI10.1016/0304-4149(91)90061-GzbMath0719.62108MaRDI QIDQ2640300

Aleksander Kowalski, Dominik Szynal

Publication date: 1991

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

zbMATH Keywords

weak law of large numbersh-step predictornonstationary ARMA process

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Prediction theory (aspects of stochastic processes) (60G25)

Related Items (1)

Asymptotic properties of quasi-maximum likelihood estimators for ARMA models with time-dependent coefficients

Cites Work

• A simple characterization of optimal ARMA predictors
• A note on the properties of some nonstationary ARMA processes
• Mixed autoregressive-moving average multivariate processes with time- dependent coefficients
• Non-stationary q-dependent processes and time-varying moving-average models: invertibility properties and the forecasting problem
• Some properties and examples of random processes that are almost wide sense stationary
• On prediction with time dependent arma models
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