On multistep prediction error methods fo
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Petre Stoica; Arye Nehorai
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Article
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1989
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John Wiley and Sons
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English
β 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