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On Embedding A Discrete‐Parameter Arma Model In A Continuous‐Parameter Arma Model

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  • S. W. He
  • J. G. Wang

Abstract

. It is shown that a real‐valued discrete‐parameter Gaussian ARMA (p. q) model with q

Suggested Citation

  • S. W. He & J. G. Wang, 1989. "On Embedding A Discrete‐Parameter Arma Model In A Continuous‐Parameter Arma Model," Journal of Time Series Analysis, Wiley Blackwell, vol. 10(4), pages 315-323, July.
    • Handle: RePEc:bla:jtsera:v:10:y:1989:i:4:p:315-323
    DOI: 10.1111/j.1467-9892.1989.tb00031.x
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    Cited by:

    1. Li, Haitao & Ye, Xiaoxia & Yu, Fan, 2020. "Unifying Gaussian dynamic term structure models from a Heath–Jarrow–Morton perspective," European Journal of Operational Research, Elsevier, vol. 286(3), pages 1153-1167.
    2. Michael D. Hunter & Haya Fatimah & Marina A. Bornovalova, 2022. "Two Filtering Methods of Forecasting Linear and Nonlinear Dynamics of Intensive Longitudinal Data," Psychometrika, Springer;The Psychometric Society, vol. 87(2), pages 477-505, June.
    3. Peter J. Brockwell, 1995. "A Note On The Embedding Of Discrete‐Time Arma Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 16(5), pages 451-460, September.

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