Parameter values of ARMA models minimising the one-step-ahead prediction error when the true system is not in the model set

DOI10.2307/3213814zbMath0511.62103OpenAlexW2313822363MaRDI QIDQ4749053

Paul V. Kabaila

Publication date: 1983

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/3213814

zbMATH Keywords

fittingARMA modelsautoregressive moving average modelsone-step-ahead prediction errorincorrect parametric model

Mathematics Subject Classification ID

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

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