Abstract

If an ARMAX model has zeros in the MA part which are close to the unit circle, then the one step predictor can have large transients. In this case the standard least squares method for estimation of parameters is not suitable. A new method based on backforecasting is therefore developed. A simulation experiment shows that the new method is superior to standard least squares method for a ordinary third order system.

Talk to us

Join us for a 30 min session where you can share your feedback and ask us any queries you have

Schedule a call

Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.