On prediction with time dependent arma models

DOI10.1080/03610928608829339zbMath0614.62122OpenAlexW2028669360MaRDI QIDQ4721469

M. Shelton Peiris

Publication date: 1986

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

Full work available at URL: https://doi.org/10.1080/03610928608829339

zbMATH Keywords

Hilbert spaceexistence of solutiondiscrete time seriesautoregressive moving average modelprediction problemlinear least squares predictornonstationary stochastic processARMA models with time dependent coefficientsone-sided Green's functions

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Estimation and detection in stochastic control theory (93E10) Signal detection and filtering (aspects of stochastic processes) (60G35) Prediction theory (aspects of stochastic processes) (60G25)

Related Items (1)

On a characterization of optimal predictors for nonstationary ARMA processes

Cites Work

• Mixed autoregressive-moving average multivariate processes with time- dependent coefficients
• On Linear Difference Equations
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