Recursive Relations for Multistep Prediction of a Stationary Time Series

DOI10.1111/1467-9892.00232zbMath0973.62084OpenAlexW2085730614MaRDI QIDQ2744932

Pascal Bondon

Publication date: 9 October 2001

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9892.00232

zbMATH Keywords

Levinson algorithmleast squareslinear predictionstationary time series

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics (62P99)

Related Items (6)

An L-Banded Approximation to the Inverse of Symmetric Toeplitz Matrices ⋮ On linear prediction for stationary random fields with nonsymmetrical half-plane past ⋮ Generalized Levinson-Durbin sequences, binomial coefficients and autoregressive estimation ⋮ Assessing influence in Gaussian long-memory models ⋮ Estimation and simulation of autoregressive Hilbertian processes with exogenous variables ⋮ The Multistep Beveridge–Nelson Decomposition

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