The Effects of Model Parameter Deviations on the Variance of a Linearly Filtered Time Series

Abstract

We consider a general linear filtering operation on an autoregressive moving average (ARMA) time series. The variance of the filter output, which is an important quantity in many applications, is not known with certainty because it depends on the true ARMA parameters. We derive an expression for the sensitivity (i.e., the partial derivative) of the output… (More)

7 Figures and Tables

Topics

  • Presentations referencing similar topics