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Backward error analysis for multistep methods

โœ Scribed by Ernst Hairer

Publisher
Springer-Verlag
Year
1999
Tongue
English
Weight
854 KB
Volume
84
Category
Article
ISSN
0029-599X

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On multistep prediction error methods fo
On multistep prediction error methods for time series models
โœ Petre Stoica; Arye Nehorai ๐Ÿ“‚ Article ๐Ÿ“… 1989 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 574 KB

Multistep prediction error methods for linear time series models are considered from both a theoretical and a practical standpoint. The emphasis is on autoregressive moving-average (ARMA) models for which a multistep prediction error estimation method (PEM) is developed. The results of a Monte Carlo