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Teoriya Veroyatnostei i ee Primeneniya, 1994, Volume 39, Issue 2, Pages 294–312
(Mi tvp3803)
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This article is cited in 10 scientific papers (total in 10 papers)
On prediction of heavy-tailed autoregressive sequences: forward versus reversed time
S. Cambanisa, I. Fakhre-Zakeriba a University of North Carolina, Chapel Hill, NC
b University of Maryland, College Park, MD
Abstract:
The prediction of heavy-tailed autoregressive sequences of first order is considered. Necessary and sufficient conditions are obtained for the linearity of the regression predictor with time reversed, which answers a question raised in [13]. Also, the error of the linear regression predictor is compared with that of the best linear predictor in the symmetric stable case.
Keywords:
autoregressive processes linear prediction, regression, stable and semistable distributions.
Received: 11.03.1993
Citation:
S. Cambanis, I. Fakhre-Zakeri, “On prediction of heavy-tailed autoregressive sequences: forward versus reversed time”, Teor. Veroyatnost. i Primenen., 39:2 (1994), 294–312; Theory Probab. Appl., 39:2 (1994), 217–233
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https://www.mathnet.ru/eng/tvp3803 https://www.mathnet.ru/eng/tvp/v39/i2/p294
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