A note on minimum mean squared error estimation of signals with unit roots (Q1112522)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A note on minimum mean squared error estimation of signals with unit roots |
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A note on minimum mean squared error estimation of signals with unit roots (English)
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1988
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Using an ARIMA parametrization, this note provides a very simple proof of how the Wiener-Kolmogorov-Whittle filter to estimate signals in time series can be extended to the nonstationary case. The proof is valid for any number and type of unit roots (not simply those implied by differencing) in both the signal and the overall model.
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ARIMA parametrization
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Wiener-Kolmogorov-Whittle filter
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time series
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nonstationary case
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unit roots
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