A note on a prediction interval for a first-order Gauss Markov process |
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Authors: | Toke Jayachandran |
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Abstract: | Let Xt, t = 1,2, ?, be a stationary Gaussian Markov process with E(Xt) = μ and Cov(Xt, Xt+k) = σ2ρk. We derive a prediction interval for X2n+1 based on the preceding 2n observations X1,X2, ?,X2n. |
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