Forward and reversed time prediction of autoregressive sequences

DOI10.2307/3214985zbMath0872.60027OpenAlexW4238482613MaRDI QIDQ3122869

Stamatis Cambanis, Issa Fakhre-Zakeri

Publication date: 15 September 1997

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/3214985

zbMATH Keywords

autoregressive representationstationary autoregressive processone-step mean square prediction errors

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10)

Related Items (1)

Testing Normality for Linear AR(p) Models

This page was built for publication: Forward and reversed time prediction of autoregressive sequences