On prediction with time dependent arma models
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ARMA models with time dependent coefficientsautoregressive moving average modeldiscrete time seriesexistence of solutionHilbert spacelinear least squares predictornonstationary stochastic processone-sided Green's functionsprediction problem
Prediction theory (aspects of stochastic processes) (60G25) Signal detection and filtering (aspects of stochastic processes) (60G35) Inference from stochastic processes and prediction (62M20) Estimation and detection in stochastic control theory (93E10) Filtering in stochastic control theory (93E11)
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Cites work
Cited in
(22)- Adaptive prediction by least squares predictors in stochastic regression models with applications to time series
- A polynomial-algebraic method for non-stationary TARMA signal analysis. I: The method
- Multivariate stable ARMA processes with time dependent coefficients
- MODWT-ARMA model for time series prediction
- On a characterization of optimal predictors for nonstationary ARMA processes
- Prediction in ARMA models with GARCH in mean effect
- Nonlinear stochastic differential equations: ARIMA models and applications
- scientific article; zbMATH DE number 3880573 (Why is no real title available?)
- scientific article; zbMATH DE number 3922506 (Why is no real title available?)
- On the prediction of multivariate arma processes with a time dependent covariance structure
- scientific article; zbMATH DE number 4109908 (Why is no real title available?)
- scientific article; zbMATH DE number 4111854 (Why is no real title available?)
- Modeling and Predicting Non-Stationary Time Series
- scientific article; zbMATH DE number 754522 (Why is no real title available?)
- Combining nonparametric and optimal linear time series predictions
- scientific article; zbMATH DE number 5260662 (Why is no real title available?)
- scientific article; zbMATH DE number 958377 (Why is no real title available?)
- Empirical study of periodic autoregressive models with additive noise – estimation and testing
- A unified theory for ARMA models with varying coefficients: one solution fits all
- Explicit weighting coefficients for predicting ARMA time series from the finite past
- Linear transformations of vector ARMA processes
- An optimal prediction in general ARMA models
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