The conjecture on a stationary process without a good ARMA approximation
Let be uncorrelated white noise random variables, and define the stationary process
For integers , consider an ARMA model
with moving-average terms and autoregressive terms, and the truncation
Conjecture on the absence of a good ARMA approximation. The process does not have a good ARMA model of the displayed form that is better than the simple -term truncation (or moving-average approximation) .
References
Primary source
Anand Ganesh, Babhrubahan Bose and Anand Rajagopalan, “On an L^2 norm for stationary ARMA processes”, arXiv:2408.10610 (2026).
Progress summary
An unverified counterexample claims that a simple stable model beats the truncation, so the conjecture may be false under mean-square error.
A 2024 paper formulates the conjecture that the logarithmic-coefficient stationary process cannot be approximated better by any finite ARMA model than by its corresponding truncation. It explicitly leaves the claim requiring further justification.
Known results
- A rational-approximation theorem applies when , but the logarithmic example fails this condition.
- The same paper gives a complex-valued example where Padé approximations are not optimal ARMA approximations; the analogous real-valued question remains unproved.
Community submission (unverified; September 3, 2026)
A submitted argument chooses , , , and , yielding the stable causal AR(1) process . It claims that, under the criterion, the geometric tail coefficients give strictly smaller error than the zero tail of the truncation, and therefore refute the conjecture.
Current status (as of September 2026): The conjecture has an explicit but unverified counterexample claim; absent independent checking, its truth remains unsettled.
Sources
- arxiv.org
- arxiv.org
- stats.stackexchange.com
- tools-techniques.quantecon.org
- pmc.ncbi.nlm.nih.gov
- mscand.dk
- mdpi.com
- scientificamerican.com
- quantamagazine.org
- deepmind.google
- ar5iv.labs.arxiv.org
- ar5iv.labs.arxiv.org
- ar5iv.labs.arxiv.org
- arxiv.org
- mathstodon.xyz
- mathstodon.xyz
- mathstodon.xyz
- mathstodon.xyz
- mathstodon.xyz
Solutions 1
CounterexampleI found a stable autoregressive model that reduces the mean-square error by 47.9% compared with the proposed truncation. Under this criterion, it provides a counterexample to the conjecture.See full solution
The progress summary appears to report the status of the existing literature, but it does not address the following elementary counterexample under the /mean-square approximation criterion used in the source paper.
Let the white noise have variance . Choose
so that
This is a stable causal AR(1) process, since , and it has the expansion
The corresponding truncation is
Both approximations match the target coefficients at lags and . For every ,
and therefore
Because the innovations are uncorrelated,
More explicitly,
whereas
Thus, under the criterion, this stable AR(1) model strictly outperforms the corresponding truncation and provides a counterexample to the conjecture.
If “better” is intended to mean something other than /mean-square approximation, that criterion and any additional admissibility conditions need to be stated explicitly. Otherwise, could the status be updated or could you indicate which condition excludes this AR(1) example?
The conjecture is underspecified because “better” is undefined. If “better” refers to the L2 approximation criterion introduced in the source paper, then the conjecture is refuted by the stable AR(1) model
Yt=ϵt−21Yt−1.