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Generalized seasonal ARIMA processes: Regularity/singularity criteria and linear prediction. (English) Zbl 0555.62080
Criteria for any generalized seasonal ARIMA model to be a regular or to be a singular process are given and a new basic form of predictors for ARIMA processes is obtained, that can be computed in a simple way.

MSC:
62M20 Inference from stochastic processes and prediction
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
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References:
[1] Box G. E. P., Time Series Analysis, Forecasting and Control (1970) · Zbl 0249.62009
[2] Cramer H., Stationary and Related Stochastic Processes (1966)
[3] DOI: 10.1093/biomet/62.2.483 · Zbl 0311.62058 · doi:10.1093/biomet/62.2.483
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[7] B. Truong-Van (1982 ) Processus G-ARIMA d’ordrenSinguliers et Reguliers. (to appear in the Publications du Laboratoire de Statistique et de Probabilites de l’Universite Toulouse III).
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