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

DOI10.1016/0377-0427(91)90047-NzbMATH Open0723.62056OpenAlexW1990667055MaRDI QIDQ756898FDOQ756898

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

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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)

Cites Work

• On the fitting of multivariate autoregressions, and the approximate canonical factorization of a spectral density matrix
• Title not available (Why is that?)
• Title not available (Why is that?)
• Band matrices with Toeplitz inverses
• 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
• On the Extrapolation of a Special Class of Stationary Time Series
• Title not available (Why is that?)

Cited In (8)

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

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