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A NOTE ON EMBEDDING A DISCRETE PARAMETER ARMA MODEL IN A CONTINUOUS PARAMETER ARMA MODEL
Author(s) -
Chan K. S.,
Tong H.
Publication year - 1987
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.1467-9892.1987.tb00439.x
Subject(s) - mathematics , autoregressive–moving average model , gaussian , embedding , discrete time and continuous time , autoregressive model , econometrics , statistics , computer science , artificial intelligence , physics , quantum mechanics
. We have shown that it is not always possible to embed a real‐valued discrete parameter Gaussian AR(1) model in a real‐valued continuous parameter Gaussian AR(1). The problem with general ARMA models is also discussed.