Explicit weighting coefficients for predicting ARMA time series from the finite past

DOI10.1016/0377-0427(91)90047-NzbMath0723.62056OpenAlexW1990667055MaRDI QIDQ756898

William F. Trench

Publication date: 1991

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0377-0427(91)90047-n

zbMATH Keywords

determinantsToeplitz matrixweighting coefficientsARMA time seriesExplicit formulaslinear minimum variance predictorvariance of predictionwide sense stationary autoregressive-moving average time series

Mathematics Subject Classification ID

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

Cites Work

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• Solution of systems with Toeplitz matrices generated by rational functions
• Band matrices with Toeplitz inverses
• The Finite Memory Prediction of Covariance Stationary Time Series
• Weighting Coefficients for the Prediction of Stationary Time Series from the Finite Past
• On the fitting of multivariate autoregressions, and the approximate canonical factorization of a spectral density matrix
• On the Extrapolation of a Special Class of Stationary Time Series

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