Goodness of fit of prediction models and two step predictionTools Janacek, G. (1973) Goodness of fit of prediction models and two step prediction. PhD thesis, University of Nottingham.
AbstractGiven a second order stationary time series it can be shown that there exists an optimum linear predictor of Xk, say X*k which is constructed from {Xt ,t=O,l,2 …} the mean square error of prediction being given by ek = E [Xk X*k2].
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