A NOTE ON EMBEDDING A DISCRETE PARAMETER ARMA MODEL IN A CONTINUOUS PARAMETER ARMA MODEL
- 1 May 1987
- journal article
- Published by Wiley in Journal of Time Series Analysis
- Vol. 8 (3) , 277-281
- https://doi.org/10.1111/j.1467-9892.1987.tb00439.x
Abstract
We have shown that it is not always possible to embed a real‐valued discrete parameter Gaussian AR(1) model in a real‐valued continuous parameter Gaussian AR(1). The problem with general ARMA models is also discussed.Keywords
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