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Prediction

  • Jan Beran
Chapter

Abstract

$$X_{t}\text{ weakly stationary}$$
$$X_{t}=\mu _{t}+\sum _{j=0}^{\infty }a_{j}\varepsilon _{t-j}=\text{Wold decomposition}$$
Find the optimal linear prediction \(\hat {X}_{t+k}\) of X t+k given X s (s ≤ t).

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Copyright information

© Springer International Publishing AG, part of Springer Nature 2017

Authors and Affiliations

  • Jan Beran
    • 1
  1. 1.Department of Mathematics and StatisticsUniversity of KonstanzKonstanzGermany

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