Proposes L² norm for stationary ARMA models from Wold decomposition and derives MSPE bounds for AR(1) approximating MA(1), with empirical checks.
Wold decomposi- tion, prediction and parameterization of stationary processes with infinite variance.Probability theory and related fields
1 Pith paper cite this work. Polarity classification is still indexing.
1
Pith paper citing it
fields
cs.LG 1years
2024 1verdicts
UNVERDICTED 1representative citing papers
citing papers explorer
-
On an $L^2$ norm for stationary ARMA processes
Proposes L² norm for stationary ARMA models from Wold decomposition and derives MSPE bounds for AR(1) approximating MA(1), with empirical checks.