Research
On an L^2 norm for stationary ARMA processes
arXiv:2408.10610v5 Announce Type: replace Abstract: We propose an L^2 norm for stationary Autoregressive Moving Average (ARMA) models. We look at ARMA models within the Hilbert space of the past with
arXiv:2408.10610v5 Announce Type: replace Abstract: We propose an L^2 norm for stationary Autoregressive Moving Average (ARMA) models. We look at ARMA models within the Hilbert space of the past with present of a true purely linearly non-deterministic stationary process X_t, and compute the L^2 norm based on its Wold decomposition. As an application of this L^2 norm, we derive bounds on the mean square prediction error for AR(1) models of MA(1) processes, and verify these bounds empirically for sample data.
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Source: arXiv cs.LG | 2026-04-16