A NOTE ON EMBEDDING A DISCRETE PARAMETER ARMA MODEL IN A CONTINUOUS PARAMETER ARMA MODEL

K. S. Chan and H. Tong

Journal of Time Series Analysis, 1987, vol. 8, issue 3, 277-281

Abstract: Abstract. We have shown that it is not always possible to embed a real‐valued discrete parameter Gaussian AR(1) model in a real‐valued continuous parameter Gaussian AR(1). The problem with general ARMA models is also discussed.

Date: 1987
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