A note on a prediction interval for a first‐order Gauss Markov process

Toke Jayachandran

Naval Research Logistics Quarterly, 1983, vol. 30, issue 3, 505-508

Abstract: Let Xt, t = 1,2, ⃛, be a stationary Gaussian Markov process with E(Xt) = μ and Cov(Xt, Xt+k) = σ2ρk. We derive a prediction interval for X2n+1 based on the preceding 2n observations X1,X2, ⃛,X2n.

Date: 1983
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Persistent link: https://EconPapers.repec.org/RePEc:wly:navlog:v:30:y:1983:i:3:p:505-508

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