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ON SOME AMBIGUITIES ASSOCIATED WITH THE FITTING OF ARMA MODELS TO TIME SERIES
Author(s) -
Findley David F.
Publication year - 1984
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/j.1467-9892.1984.tb00388.x
Subject(s) - autocovariance , mathematics , series (stratigraphy) , autoregressive–moving average model , time series , signal (programming language) , quadratic equation , moving average , autoregressive model , econometrics , algorithm , mathematical optimization , statistics , computer science , fourier transform , mathematical analysis , paleontology , geometry , biology , programming language
. Examples are presented illustrating some ambiguities associated with the application of ARMA models to problems of signal extraction, multistep‐ahead forecasting, spectrum approximation and linear quadratic control. Except in the signal extraction example, the ambiguities arise either from lack of sufficient autocovariance data to completely determine the process, or, often relatedly, from the approximate nature of the models used.