ON SOME AMBIGUITIES ASSOCIATED WITH THE FITTING OF ARMA MODELS TO TIME SERIES

DOI10.1111/J.1467-9892.1984.TB00388.XMaRDI QIDQ3685895zbMATH OpenOpenAlexFDO

Authors David F. Findley

Publication date 1984

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9892.1984.tb00388.x

zbMATH Keywords

ambiguitiesfitting of ARMA models to time serieslinear quadratic controlmultistep-ahead forecastingsignal extractionspectrum approximation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Inference from stochastic processes and prediction (62M20)

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Cited in

(11)

• Recent developments in time series forecasting
• The effects of different choices of order for autoregressive approximation on the Gaussian likelihood estimates for ARMA models
• Selecting optimal multistep predictors for autoregressive processes of unknown order.
• Pitfalls of fitting autoregressive models for heavy-tailed time series
• Information loss of extracted series in AR(1) model
• scientific article; zbMATH DE number 168803 (Why is no real title available?)
• Multistep prediction in autoregressive processes
• Asymptotically efficient model selection for panel data forecasting
• PROFILE SUMMARIES FOR ARIMA TIME SERIES MODEL PARAMETERS
• Multistep forecast selection for panel data
• Toward optimal multistep forecasts in non-stationary autoregressions

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