Predictability Time Limit of Autoregressive Processes
S. N. Moiseev
Voronezh State University, Voronezh, RussiaE-mail: smoiseev@kodofon.vrn.ru
Pages: 400-407
Abstract
It is shown that for the p-order autoregressive process, in the case of using a prediction optimized for minimum root-mean-square error, and the known autoregressive coefficients, the predictability time can exceed the correlation time by a factor of p for the best combination of autoregressive coefficients.
|