Uniqueness of estimated k-step prediction models of ARMA processes

DOI10.1016/S0167-6911(84)80073-0MaRDI QIDQ796487zbMATHOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 3875113 (Why is no real title available?)
• scientific article; zbMATH DE number 3683489 (Why is no real title available?)
• scientific article; zbMATH DE number 3565994 (Why is no real title available?)
• Estimation based on one step ahead prediction versus estimation based on multi-step ahead prediction
• Introduction to stochastic control theory
• On the Treatment of Autocorrelated Errors in the Multiperiod Prediction of Dynamic Simultaneous Equation Models
• On the asymptotic accuracy of pseudo-linear regression algorithms
• On the uniqueness of maximum likelihood identification
• Some properties of the output error method
• Uniqueness of prediction error estimates of multivariable moving average models
• Uniqueness of the maximum likelihood estimates of ARMA model parameters--An elementary proof
• Uniqueness of the maximum likelihood estimates of the parameters of an ARMA model

Cited in

(6)

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

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