Goodnes of fit of prediction models and two step prediction
Given a second order stationary time series it can be shown that there exists an optimum linear predictor of Xk, say X*k which is constructed from {Xt ,t=O,-l,-2 …} the mean square error of prediction being given by ek = E [|Xk- X*k|2]. In some cases however a series can be considered to have starte...
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University of Nottingham
1973
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| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.460695 |