Proposes L² norm for stationary ARMA models from Wold decomposition and derives MSPE bounds for AR(1) approximating MA(1), with empirical checks.
The Wold decomposition theo- rem
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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.