On prediction of integrated moving average processes

DOI10.1007/BF02480313MaRDI QIDQ1150229zbMATH OpenFDO

Authors Yoshihiro Yajima

Publication date 1980

Published in Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

zbMATH Keywords

initial valuesARIMA processasymptotic properties of predictorserror of predictionintegrated moving average processes

Mathematics Subject Classification ID

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

Cites work

• scientific article; zbMATH DE number 3131354 (Why is no real title available?)
• scientific article; zbMATH DE number 3131469 (Why is no real title available?)
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• scientific article; zbMATH DE number 3395169 (Why is no real title available?)
• Estimation and information in stationary time series
• Estimation in the first order moving average model based on sample autocorrelations
• Forecasting aggregates of independent ARIMA processes
• Linear Statistical Inference and its Applications
• Linear prediction by autoregressive model fitting in the time domain
• On Durbin's formula for the limiting generalized variance of a sample of consecutive observations from a moving-average process
• On the Asymptotic Distribution of the Autocorrelations of a Sample from a Linear Stochastic Process
• On the Inverse of Some Covariance Matrices of Toeplitz Type
• On the error of prediction of a time series

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