• Published 2005

BEST MEAN SQUARE PREDICTION FOR MOVING AVERAGES

@inproceedings{Breidt2005BESTMS,
  title={BEST MEAN SQUARE PREDICTION FOR MOVING AVERAGES},
  author={F. Jay Breidt and Nan-Jung Hsu},
  year={2005}
}
Best mean square prediction for moving average time series models is generally non-linear prediction, even in the invertible case. Gaussian processes are an exception, since best linear prediction is always best mean square prediction. Stable numerical recursions are proposed for computation of residuals and evaluation of unnormalized conditional distributions in invertible or non-invertible moving average models, including those with distinct unit roots. The conditional distributions allow… CONTINUE READING

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