Exact predictors for a generalized ar(1) process with an ar(1) parameter

DOI10.1080/03610928808829661zbMath0642.62053OpenAlexW2008632347MaRDI QIDQ3783390

Heikki Ruskeepaa

Publication date: 1988

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610928808829661

zbMATH Keywords

predictioncomputer algebra programautoregressive processtime-varying parameterMACSYMAAR(1) processBox-Jenkins-type approximationsexact predictors

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Probabilistic methods, stochastic differential equations (65C99)

Related Items (1)

Computer algebra in probability and statistics

Uses Software

• MACSYMA

Cites Work

• Unnamed Item
• A Recursive Kalman Filter Forecasting Approach
• The moments of the multivariate normal
• SOME DOUBLY STOCHASTIC TIME SERIES MODELS
• A RANDOM PARAMETER PROCESS FOR MODELING AND FORECASTING TIME SERIES
• ON STATIONARITY OF THE SOLUTION OF A DOUBLY STOCHASTIC MODEL

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