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On multistep prediction error methods for time series models |
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| Authors: | Petre Stoica Arye Nehorai |
| Abstract: | 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 simulation study aimed at establishing the possible merits of the multistep PEM are presented. |
| Keywords: | ARMA models Prediction error methods One-step and multistep methods Gradient algorithms Prediction performance assessment |