A simple characterization of optimal ARMA predictors
type: Item
instance of: scholarly article
title: A simple characterization of optimal ARMA predictors
zbMATH Open document ID: 0575.93063
DOI: 10.1016/0167-6911(86)90131-3
published in: Systems \& Control Letters
publication date: 1986-01-01T00:00:00Z
review text: The coefficients of the optimal steady state k-step ahead predictor for an ARMA process in general depend on k. It is shown that a simple formula completely characterizes all these coefficients.
Mathematics Subject Classification ID: 93E11
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62M20
Mathematics Subject Classification ID: 93E20
zbMATH DE Number: 3920347
zbMATH Keywords: optimal steady state k-step ahead predictor
zbMATH Keywords: ARMA process
author: Raymond H. Kwong
MaRDI profile type: Publication
full work available at URL: 0167-6911(86)90131-3
OpenAlex ID: W2018445271
cites work: Q4168443
cites work: Q3799870
cites work: Q4010408
description: scientific article; zbMATH DE number 3920347