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Recursive Relations for Multistep Prediction of a Stationary Time Series
Author(s) -
Bondon Pascal
Publication year - 2001
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/1467-9892.00232
Subject(s) - mathematics , series (stratigraphy) , linear multistep method , time series , statistics , mathematical analysis , differential equation , differential algebraic equation , paleontology , ordinary differential equation , biology
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.