Prediction theory for autoregressivemoving average processes
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Cites work
- “On the discrete time matrix Riccati equation of optimal control-a correction”
- A NONSTATIONARY TIME SERIES MODEL AND ITS FITTING BY A RECURSIVE FILTER
- A Note on Noncausality
- A Note on the Extraction of Components from Time Series
- Convergence and Stability Properties of the Discrete Riccati Operator Equation and the Associated Optimal Control and Filtering Problems
- Convergence of the Kalman filter gain for a class of nondetectable signal extraction problems
- Convergence properties of the Riccati difference equation in optimal filtering of nonstabilizable systems
- Decomposition of Seasonal Time Series: A Model for the Census X-11 Program
- scientific article; zbMATH DE number 3727458 (Why is no real title available?)
- Measurement of a wandering signal amid noise
- On the discrete time matrix Riccati equation of optimal control†
- Optimal Properties of Exponentially Weighted Forecasts
- Prediction of a noise-distorted, multivariate, non-stationary signal
- Riccati equations in optimal filtering of nonstabilizable systems having singular state transition matrices
- Signal extraction error in nonstationary time series
- Signal extraction from nonstationary time series
- Stochastic processes and filtering theory
Cited in
(17)- Prediction and fundamental moving averages for discrete multidimensional harmonizable processes
- Optimal prediction with a finite number of observations of time series of the autoregression-integrated moving average class
- Prediction of autoregressive processes via the reproducing kernel spaces
- Estimation for a class of generalized state-space time series models.
- A Beveridge-Nelson smoother.
- Prediction law of mixed Gaussian Volterra processes
- scientific article; zbMATH DE number 431876 (Why is no real title available?)
- scientific article; zbMATH DE number 4205684 (Why is no real title available?)
- On the Model-Based Interpretation of Filters and the Reliability of Trend–Cycle Estimates
- Forecast Functions Implied by Autoregressive Integrated Moving Average Models and Other Related Forecast Procedures
- Predictive discrimination for autoregressive processes
- scientific article; zbMATH DE number 65630 (Why is no real title available?)
- Représentation autorégressive du prédicteur à passé infini incomplet d'une série chronologique stationnaire
- Trend–Cycle Decompositions with Correlated Components
- Predictability, real time estimation, and the formulation of unobserved components models
- The ARMA model in state space form
- Introduction to the special issue on statistical signal extraction and filtering
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