Prediction with incomplete past of a stationary process

Pascal Bondon

Stochastic Processes and their Applications, 2002, vol. 98, issue 1, 67-76

Abstract: An explicit formula is obtained for the prediction error of a future value of a stationary process when the infinite past is altered by some missing observations with an arbitrary pattern. Then the autoregressive representation of the predictor is derived and the processes for which the missing observations in the past do not affect the prediction of a future value are characterized. Some properties for autoregressive processes and for moving average processes with finite orders are established.

Keywords: Prediction; theory; Stationary; process; Missing; value; problems; Autoregressive; parameters; Autoregressive; representation (search for similar items in EconPapers)
Date: 2002
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Citations: View citations in EconPapers (3)

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