Geodesic
On prediction of heavy-tailed autoregressive sequences: forward versus reversed time
Teoriâ veroâtnostej i ee primeneniâ, Tome 39 (1994) no. 2, pp. 294-312

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The prediction of heavy-tailed autoregressive sequences of first order is considered. Necessary and sufficient conditions are obtained for the linearity of the regression predictor with time reversed, which answers a question raised in [13]. Also, the error of the linear regression predictor is compared with that of the best linear predictor in the symmetric stable case.
Keywords: autoregressive processes linear prediction, stable and semistable distributions.
Mots-clés : regression 
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     author = {S. Cambanis and I. Fakhre-Zakeri},
     title = {On prediction of heavy-tailed autoregressive sequences: forward versus reversed time},
     journal = {Teori\^a vero\^atnostej i ee primeneni\^a},
     pages = {294--312},
     publisher = {mathdoc},
     volume = {39},
     number = {2},
     year = {1994},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/TVP_1994_39_2_a3/}
}
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S. Cambanis; I. Fakhre-Zakeri. On prediction of heavy-tailed autoregressive sequences: forward versus reversed time. Teoriâ veroâtnostej i ee primeneniâ, Tome 39 (1994) no. 2, pp. 294-312. http://geodesic.mathdoc.fr/item/TVP_1994_39_2_a3/