Goodness 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 sta...
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| Format: | Thesis (University of Nottingham only) |
| Language: | English |
| Published: |
1973
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| Online Access: | https://eprints.nottingham.ac.uk/30921/ |