Publishing House SB RAS:

Publishing House SB RAS:

Address of the Publishing House SB RAS:
Morskoy pr. 2, 630090 Novosibirsk, Russia

Advanced Search


2003 year, number 4

Limiting Predictability time of the moving average processes

Pages: 60–66


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.