On an $L^2$ norm for stationary ARMA processes

Abstract

We propose an $L^2$ norm for stationary Autoregressive Moving Average (ARMA) models. We look at ARMA models within the Hilbert space of the past with present of a true purely linearly non-deterministic stationary process $X_t$, and compute the $L^2$ norm based on its Wold decomposition. As an application of this $L^2$ norm, we derive bounds on the mean square prediction error for AR(1) models of MA(1) processes, and verify these bounds empirically for sample data.

5 pages