Journal of Time Series Analysis

ON EMBEDDING A DISCRETE‐PARAMETER ARMA MODEL IN A CONTINUOUS‐PARAMETER ARMA MODEL

Journal Article

Abstract. It is shown that a real‐valued discrete‐parameter Gaussian ARMA (p. q) model with q < p can be embedded in a real‐valued continuous‐parameter Gaussian ARMA(p', q') model with q' < p'. The problem of embedding a real‐valued discrete‐parameter Gaussian AR(p) into a real‐valued continuous‐parameter Gaussian AR(p) is also discussed.

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