- 1. Re: prediction function for AR processes (was No subject) (score: 1)
- Author: Prof Brian Ripley <ripley@stats.ox.ac.uk>
- Date: Wed, 25 Jun 2003 22:17:56 +0100 (BST)
- Please use a meaningful subject. What you want is often called the eventual forecast function. For an AR(1) it is beta^r for r steps ahead. The distribution of Y(t+tau) | Y(t) = y* is in all good tim
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