The Finite Memory Prediction of Covariance Stationary Time Series

DOI10.1137/0904027zbMATH Open0522.65100OpenAlexW1980982463MaRDI QIDQ3673058FDOQ3673058

H. Joseph Newton, Marcello Pagano

Publication date: 1983

Published in: SIAM Journal on Scientific and Statistical Computing (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/1a6d9d0ef9671087be846a5ea9fa27de5471742d

zbMATH Keywords

numerical exampleautoregressive-moving average time seriescovariance stationary time seriesminimum mean square error linear predictionmodified Cholesky decomposition algorithm

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Probabilistic methods, stochastic differential equations (65C99) Inference from stochastic processes and prediction (62M20) Direct numerical methods for linear systems and matrix inversion (65F05) Factorization of matrices (15A23)

Cited In (3)

• Optimality of GLS for one-step-ahead forecasting with regARIMA and related models when the regression is misspecified
• Explicit weighting coefficients for predicting ARMA time series from the finite past
• A UNIFIED APPROACH TO ARMA MODEL IDENTIFICATION AND PRELIMINARY ESTIMATION

Uses Software

• AS 154

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