This article is cited in 10 papers

On prediction of heavy-tailed autoregressive sequences: forward versus reversed time

S. Cambanis^a, I. Fakhre-Zakeri<sup>ba

a</sup> University of North Carolina, Chapel Hill, NC
^b University of Maryland, College Park, MD

Abstract: 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, regression, stable and semistable distributions.

Received: 11.03.1993

Language: English

 English version: Theory of Probability and its Applications, 1994, 39:2, 217–233

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