A simple characterization of optimal ARMA predictors (Q1064304)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A simple characterization of optimal ARMA predictors |
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A simple characterization of optimal ARMA predictors (English)
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1986
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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.
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optimal steady state k-step ahead predictor
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ARMA process
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