A Note on the Predictors of Differenced Sequences

DOI10.1111/J.1467-842X.1987.TB00719.XMaRDI QIDQ3768225zbMATH OpenOpenAlexFDO

Authors Shelton Peiris

Publication date 1987

Published in Australian Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-842x.1987.tb00719.x

zbMATH Keywords

ARIMA modelsconditional expectationdifferenced sequencefilteringfractional differencingHilbert spaceminimum mean square predictionoptimal linear predictionorthogonal projectionstationary and invertible ARMA model

Mathematics Subject Classification ID

Prediction theory (aspects of stochastic processes) (60G25) Signal detection and filtering (aspects of stochastic processes) (60G35) Inference from stochastic processes and prediction (62M20)

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