Recursive Relations for Multistep Prediction of a Stationary Time Series

Pascal Bondon

Journal of Time Series Analysis, 2001, vol. 22, issue 4, 399-410

Abstract: 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.

Date: 2001
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