A simple formula for optimal ARMAX predictors

DOI10.1109/TAC.1987.1104515MaRDI QIDQ3764026zbMATH OpenOpenAlexFDO

Authors Raymond H. Kwong

Publication date 1987

Published in IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/tac.1987.1104515

zbMATH Keywords

optimal steady-state k-step ahead predictorscalar ARMAX process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Identification in stochastic control theory (93E12) Optimal stochastic control (93E20)

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