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Parameter values of ARMA models minimising the one-step-ahead prediction error when the true system is not in the model set

Published online by Cambridge University Press:  14 July 2016

Paul Kabaila
Paul Kabaila*
Affiliation:
CSIRO Division of Mathematics and Statistics
*
∗ Postal address: CSIRO Division of Mathematics and Statistics, P.O. Box 310, South Melbourne, VIC 3205, Australia.
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Abstract

In This paper we answer the following question. Is there any a priori reason for supposing that there is no more than one set of ARMA model parameters minimising the one-step-ahead prediction error when the true system is not in the model set?

Keywords

AUTOREGRESSIVE MOVING AVERAGE MODELSINCORRECT PARAMETRIC MODEL FITTING
Type
Short Communications
Information
Journal of Applied Probability , Volume 20 , Issue 2 , June 1983 , pp. 405 - 408
Copyright
Copyright © Applied Probability Trust 1983 

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References

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