An optimal prediction in general ARMA models

This paper introduces a concept of a general ARMA model. The Wold's decomposition is extended to a class of stochastic processes without moment conditions. There are given regularity conditions under which there exists a purely nondeterministic solution of ARMA equation. The prediction problem for that general ARMA models is solved. The classical theory of ARMA processes is a particular case of our consideration.

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Year of publication:	1990
Authors:	Kowalski, Aleksander ; Szynal, Dominik
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 34.1990, 1, p. 14-36
Publisher:	Elsevier
Keywords:	ARMA processes prediction the Wold decomposition martingales zero-one law

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005221307