Predictions from Armax Models
نویسنده
چکیده
This paper gives an expression for the minimum mean squared error predictor of the single equation ARMAX model when all the parameters are known. A formula is then derived for the asymptotic prediction mean squared error when the parameters are replaced by their maximum likelihood estimates. These general results are then specialised to the regression model with ARMA errors; for this case we also consider the properties of an alternative predictor which can sometimes be marginally more efficient than the conventional predictor.
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