Lecture 19B: Models for Linear Stationary Processes-8

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Moving average representation, ACF of MA process, Predictions with MA model.
  1. Applied Time -Series Analysis
  2. Applied Time Series Analysis
  3. Prof. Arun K. Tangirala
  4. Motivation and Overview
  5. NPTEL
  6. Models for Linear Stationary Processes
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Комментарии
Автор

Greetings professor, there is something I don't understand. So we want to find the best prediction of V[k+1], so theoretically the best predictor is the conditional expectation : E[V[k+1]\k]=E[c1*e[k]+ e[k+1]\k] =c1*E[e[k]\k] + E[e[k+1]\k], this last term : E[e[k+1]\k], I guess you assumed it is equal to zero, may i know why ? Thank you

chtibareda
Автор

Super! Insifhtful explanation of why we run into a situation to have redundant coefficients.

poiuwnwang