ON SOME AMBIGUITIES ASSOCIATED WITH THE FITTING OF ARMA MODELS TO TIME SERIES

David F. Findley

Journal of Time Series Analysis, 1984, vol. 5, issue 4, 213-225

Abstract: Abstract. Examples are presented illustrating some ambiguities associated with the application of ARMA models to problems of signal extraction, multistep‐ahead forecasting, spectrum approximation and linear quadratic control. Except in the signal extraction example, the ambiguities arise either from lack of sufficient autocovariance data to completely determine the process, or, often relatedly, from the approximate nature of the models used.

Date: 1984
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