Explicit weighting coefficients for predicting ARMA time series from the finite past

DOI10.1016/0377-0427(91)90047-NMaRDI QIDQ756898zbMATH OpenOpenAlexFDO

Authors William F. Trench

Publication date 1991

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0377-0427(91)90047-n

zbMATH Keywords

Toeplitz matrixdeterminantsARMA time seriesExplicit formulaslinear minimum variance predictorvariance of predictionweighting coefficientswide sense stationary autoregressive-moving average time series

Mathematics Subject Classification ID

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

Recommendations

• Explicit representation of finite predictor coefficients and its applications
• A simple characterization of optimal ARMA predictors
• Recursive method for ARMA model estimation. I
• A simple formula for optimal ARMAX predictors
• On prediction with time dependent arma models

Cites work

• scientific article; zbMATH DE number 3131354 (Why is no real title available?)
• scientific article; zbMATH DE number 3340854 (Why is no real title available?)
• scientific article; zbMATH DE number 3195740 (Why is no real title available?)
• Band matrices with Toeplitz inverses
• On the Extrapolation of a Special Class of Stationary Time Series
• On the fitting of multivariate autoregressions, and the approximate canonical factorization of a spectral density matrix
• Solution of systems with Toeplitz matrices generated by rational functions
• The Finite Memory Prediction of Covariance Stationary Time Series
• Weighting Coefficients for the Prediction of Stationary Time Series from the Finite Past

Cited in

(8)

• The algorithm of recognition over the moving average for prediction of dynamic series
• A simple characterization of optimal ARMA predictors
• Optimized regression models for time series
• A simple formula for optimal ARMAX predictors
• Recursive relations for multistep prediction of a stationary time series
• Explicit representation of finite predictor coefficients and its applications
• Weighted moving averaging revisited: an algebraic approach
• Closed-form expression for finite predictor coefficients of multivariate ARMA processes

This page was built for publication: Explicit weighting coefficients for predicting ARMA time series from the finite past

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q756898)