Goodness of fit of prediction models and two step prediction

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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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Bibliographic Details
Main Author:	Janacek, G.
Format:	Thesis (University of Nottingham only)
Language:	English
Published:	1973
Online Access:	https://eprints.nottingham.ac.uk/30921/

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