An optimal prediction in general ARMA models

DOI10.1016/0047-259X(90)90058-PzbMath0708.62086MaRDI QIDQ920529

Aleksander Kowalski, Dominik Szynal

Publication date: 1990

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

zbMATH Keywords

predictionmartingalesregularity conditionsPolish spacegeneral ARMA modelfinite, complex-valued random variablesP-convergence topologypurely nondeterministic solution of ARMA equationsWold's decompositionzeron-one law

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) General second-order stochastic processes (60G12) Prediction theory (aspects of stochastic processes) (60G25)

Cites Work

• A simple characterization of optimal ARMA predictors
• A note on the properties of some nonstationary ARMA processes
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