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Biometrika 1972 59(3):501-507; doi:10.1093/biomet/59.3.501
© 1972 by Biometrika Trust
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On the error of prediction of a time series

P. BLOOMFIELD

Princeton University

Parametric and nonparametric procedures for the prediction of a time series are discussed. In each case the increase in the mean squared error of prediction, over its minimum level, due to the use of estimated spectra is assessed. The fitting of simple parametric models as approximations is also discussed.

Key Words: Time series prediction • Parametric models for time series • Spectral estimation


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