Prediction theory for autoregressivemoving average processes

DOI10.1080/07474938808800143zbMath0718.62203OpenAlexW2013014025MaRDI QIDQ5750234

Kenneth F. Wallis, Peter Burridge

Publication date: 1988

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474938808800143

zbMATH Keywords

Kalman filterforecastingsignal extractionprediction theorystate-space methodsWiener-Kolmogorov theorynoninvertible processeslinear least squares methodsautoregressive- moving average processesdifference-stationary processes

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11)

Related Items (7)

Trend–Cycle Decompositions with Correlated Components ⋮ The ARMA model in state space form ⋮ A Beveridge-Nelson smoother. ⋮ Introduction to the special issue on statistical signal extraction and filtering ⋮ On the Model-Based Interpretation of Filters and the Reliability of Trend–Cycle Estimates ⋮ Predictability, real time estimation, and the formulation of unobserved components models ⋮ Estimation for a class of generalized state-space time series models.

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