On same-realization prediction in an infinite-order autoregressive process

@inproceedings{Ing2003OnSP,
  title={On same-realization prediction in an infinite-order autoregressive process},
  author={Ching-Kang Ing and Ching-zong Wei},
  year={2003}
}
Let observations come from an infinite-order autoregressive (AR) process. For predicting the future of the observed time series (referred to as the same-realization prediction), we use the least-squares predictor obtained by fitting a finite-order AR model. We also allow the order to become infinite as the number of observations does in order to obtain a better approximation. Moment bounds for the inverse sample covariance matrix with an increasing dimension are established under various… CONTINUE READING
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