Abstract
SummaryIn this note we consider the problems of optimal linear prediction (o.l.p.) and the minimum mean squared error prediction (m.m.s.e.p.) of a sequence Xt, which fits to a stationary and invertible ARMA model through the filter (1 ‐ Bs)d Xt= Yt. It is shown that these two predictors are not identical in general from the theoretical point of view. Permitting the degree of differencing d to take any real value, a set of conditions for these commonly applied prediction formulas to be identical is given.
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