An optimal prediction in general ARMA models

Aleksander Kowalski and Dominik Szynal

Journal of Multivariate Analysis, 1990, vol. 34, issue 1, 14-36

Abstract: 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.

Keywords: ARMA; processes; prediction; the; Wold; decomposition; martingales; zero-one; law (search for similar items in EconPapers)
Date: 1990
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