Uniqueness of estimated k-step prediction models of ARMA processes

DOI10.1016/S0167-6911(84)80073-0zbMath0543.93063OpenAlexW2079449670MaRDI QIDQ796487

Torsten Söderström, Petre Stoica

Publication date: 1984

Published in: Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-6911(84)80073-0

zbMATH Keywords

prediction error methoduniqueness propertyautoregressive moving average processesk-step predictionpseudo-linear regression

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation and detection in stochastic control theory (93E10) Prediction theory (aspects of stochastic processes) (60G25)

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