Uniqueness of estimated k-step prediction models of ARMA processes

DOI10.1016/S0167-6911(84)80073-0zbMATH Open0543.93063OpenAlexW2079449670MaRDI QIDQ796487FDOQ796487

Authors: Torsten Söderström, Petre Stoica 

Publication date: 1984

Published in: Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-6911(84)80073-0

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zbMATH Keywords

prediction error methoduniqueness propertyautoregressive moving average processesk-step predictionpseudo-linear regression

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Prediction theory (aspects of stochastic processes) (60G25) Estimation and detection in stochastic control theory (93E10)

Cites Work

• Title not available (Why is that?)
• Introduction to stochastic control theory
• Title not available (Why is that?)
• Title not available (Why is that?)
• On the uniqueness of maximum likelihood identification
• Uniqueness of the maximum likelihood estimates of the parameters of an ARMA model
• Some properties of the output error method
• Uniqueness of prediction error estimates of multivariable moving average models
• On the asymptotic accuracy of pseudo-linear regression algorithms
• On the Treatment of Autocorrelated Errors in the Multiperiod Prediction of Dynamic Simultaneous Equation Models
• Estimation based on one step ahead prediction versus estimation based on multi-step ahead prediction
• Uniqueness of the maximum likelihood estimates of ARMA model parameters--An elementary proof

Cited In (6)

• ESTIMATION OF THE PREDICTION ERROR VARIANCE AND AN R²MEASURE BY AUTOREGRESSIVE MODEL FITTING
• Asymptotically efficient autoregressive model selection for multistep prediction
• Autoregressive model selection for multistep prediction
• A test for improved multi-step forecasting
• Gradient Descent Learns Linear Dynamical Systems
• Modeling of time series arrays by multistep prediction or likelihood methods.

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