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Results tagged with forecasting
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user 309015
Prediction of the future events. It is a special case of [prediction], in the context of [time-series].
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Forecasting $X_{t+2}$ for causal AR(p)
Consider $X_{t+2}$ term:
\begin{equation}
\begin{split}
X_{t+2} & = \sum_{i=1}^p \psi_iX_{t+2-i} \,+Z_{t+2} = \psi_1X_{t+1} + \sum_{i=2}^p\psi_iX_{t+2-i} \,+Z_{t+2} \\
& = \psi_1\left(\sum_{i=1}^p \ps …
