MSE of the best linear predictor in nonorthogonal models |
| |
| Authors: | František Štulajter |
| |
| Affiliation: | (1) Department of Probability and Statistics Faculty of Mathematics, Physics and Informatics, Comenius University, Mlynská Dolina, SK-842 48 Bratislava, Slovakia |
| |
| Abstract: | The problem of computing the mean squared error (MSE) of the best linear predictor (BLP) in finite discrete spectrum with an additive white noise models(FDSWNMs) for an observed time series is considered. This is done under the assumption that the corresponding vectors in models for finite observation of this time series are not orthogonal. Supported by the VEGA grant of the Slovak Grant Agency. No. 1/3023/06. |
| |
| Keywords: | time series finite discrete spectrum with an additive white noise model best linear predictor mean squared error of predictor |
| 本文献已被 SpringerLink 等数据库收录！ |
