Parameter values of ARMA models minimising the one-step-ahead prediction error when the true system is not in the model set Academic Article uri icon

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?

publication date

  • June 1983