Prediction theory for autoregressivemoving average processes

Abstract

This paper reviews statistical prediction theory for autoregressive-moving average processes wing techniques developed in control theory. It demonstrates explicitly the connectioluns between the statistical and control theory literatures. Both the forecasting problem and the Single extraction problem am considered, udng linear least squares methods. Whereas the classical Statistical theory developed by Wiener and Kolmogomv is restricted to stationary stochaotic processes, the recursive techniques known as the Kalman filter are shown to provide a satisfactory treatment of the difference-stationary care and other more general cases. Complete results for non-invertible moving averages are also obtained.

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