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On prediction of integrated moving average processes

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Abstract

We shall consider the asymptotic properties of predictors with estimated coefficients for IMA processes and how to determine the order of predictors to minimize the error of prediction. For this purpose, the effect of the initial values on predictors is also considered.

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Authors and Affiliations

  1. Tokyo Institute of Technology, Tokyo, Japan

    Yoshihiro Yajima

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  1. Yoshihiro Yajima
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Yajima, Y. On prediction of integrated moving average processes. Ann Inst Stat Math 32, 81–94 (1980). https://doi.org/10.1007/BF02480313

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  • DOI: https://doi.org/10.1007/BF02480313

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