Limiting Predictability time of the moving average processes
S.N.Moiseev
Voronezh
Pages: 60–66
Abstract
It is shown that for the optimal (by the minimum mean-root-square error) prediction of the moving average process of the q-order the predictability time can exceed the correlation time by a factor of in q the case of a certain combination of the moving average coefficients.
the case of a certain combination of the moving average coefficients.