FORWARD AND REVERSED TIME PREDICTION OF AUTOREGRESSIVE SEQUENCES

Authors
CAMBANIS S FAKHREZAKERI I
Citation
S. Cambanis et I. Fakhrezakeri, FORWARD AND REVERSED TIME PREDICTION OF AUTOREGRESSIVE SEQUENCES, Journal of Applied Probability, 33(4), 1996, pp. 1053-1060
Citations number
12
Categorie Soggetti
Statistic & Probability","Statistic & Probability
Journal title
Journal of Applied Probability → ACNP
ISSN journal
00219002
Volume
33
Issue
4
Year of publication
1996
Pages
1053 - 1060
Database
ISI
SICI code
0021-9002(1996)33:4<1053:FARTPO>2.0.ZU;2-S
Abstract
Prediction for autoregressive sequences with finite second moment and of general order is considered. It is shown that the best predictor wi th time reversed is linear if and only if the innovations are Gaussian . The connection to time reversibility is also discussed.