On Some Ambiguities Associated with the Fitting of ARMA Models to Time Series
On Some Ambiguities Associated with the Fitting of ARMA Models to Time Series
Introduction
The ambiguities we discuss are of various kinds: In section 2, we illustrate some consequences for signal extraction of inappropriately using 'parsimony' to remove the ambiguity inherent in the selection of an ARMA model for an unobserved component of a stationary ARMA (p,p) process when only the spectrum of the observed process is known. In the remaining sections, we mainly look at consequences for various applications of only knowing a finite segment.
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