Minimum Mean Square Error Prediction of Autoregressive Moving Average Time Series.

Abstract

A computer program is described and presented for calculating finite memory predictors and prediction variances for autoregressive moving average time series models. The Cholesky decomposition algorithm is used, and a number of simplifying results are described and implemented in the program. (Author)

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Document Details

Document Type
Technical Report
Publication Date
Apr 01, 1981
Accession Number
ADA104939

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  • H. Joseph Newton
  • Marcello Pagano

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  • Texas A&M University

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  • C4I

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