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Recursive Relations for Multistep Prediction of a Stationary Time Series
Pascal Bondon (Centre National de la Recherche Scientifique)
Journal of Time Series Analysis
DOI: 10.1111/1467-9892.00232 (Mathematics)
License: not stated (all rights reserved)
Abstract: Recursive relations are established between the coefficients of the finite past multistep linear predictors of a stationary time series. These relations generalize known results when the prediction is based on infinite past and permit simplification of the numerical calculation of the finite past predictors.
Published on 01 Jul. 2001