Title :
A prediction bound for Gaussian ARMA processes
Author :
Gerencse´R, L. ; Rissanen, J.
Author_Institution :
Hungarian Academy of Sciences
Abstract :
A lower bound for the mean accumulated squared errors for the class of the gaussian ARMA processes has been described under the assumption that the parameters of the data generating process are not known.
Keywords :
Codes; Error analysis; Gaussian processes; Kalman filters; Least squares approximation; Least squares methods; Mean square error methods; Parameter estimation; Random variables; Technological innovation;
Conference_Titel :
Decision and Control, 1986 25th IEEE Conference on
Conference_Location :
Athens, Greece
DOI :
10.1109/CDC.1986.267133
