Parameter values of ARMA models minimising the one-step-ahead prediction error when the true system is not in the model set
- 1 June 1983
- journal article
- Published by Cambridge University Press (CUP) in Journal of Applied Probability
- Vol. 20 (2), 405-408
- https://doi.org/10.2307/3213814
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
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