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An optimal prediction in general ARMA models

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  • Kowalski, Aleksander
  • Szynal, Dominik

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.

Suggested Citation

  • Kowalski, Aleksander & Szynal, Dominik, 1990. "An optimal prediction in general ARMA models," Journal of Multivariate Analysis, Elsevier, vol. 34(1), pages 14-36, July.
    • Handle: RePEc:eee:jmvana:v:34:y:1990:i:1:p:14-36
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    Cited by:

    1. Karanasos, Menelaos & Paraskevopoulos,Alexandros & Canepa, Alessandra, 2020. "Unified Theory for the Large Family of Time Varying Models with Arma Representations: One Solution Fits All," Department of Economics and Statistics Cognetti de Martiis. Working Papers 202008, University of Turin.

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