Estimating the Variance of the K-Step Ahead Predictor for Time-Series
1999 (English)Report (Other academic)
This paper considers the problem of estimating the variance of a linear k-step ahead predictor for time series. (The extension to systems including deterministic inputs is straight forward.) We compare the theoretical results with empirically calculated variance on real data, and discuss the quality of the achieved variance estimate.
Place, publisher, year, edition, pages
Linköping: Linköping University Electronic Press, 1999. , 7 p.
LiTH-ISY-R, ISSN 1400-3902 ; 2130
IdentifiersURN: urn:nbn:se:liu:diva-55712ISRN: LiTH-ISY-R-2130OAI: oai:DiVA.org:liu-55712DiVA: diva2:316485