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A note on prediction and interpolation errors in time series

In this note, we analyze the relationship between one-step ahead prediction errors and interpolation errors in time series. We obtain an expression of the prediction errors in terms of the interpolation errors and then we show that minimizing the sum of squares of the one-step ahead standardized prediction errors is equivalent to minimizing the sum of squares of standardized interpolation errors.
Year of publication:
2005
Authors: Galeano, Pedro ; Peña, Daniel
Published in:
Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 73.2005, 1, p. 71-78
Publisher: Elsevier
Keywords: Fixed-point smoothing Interpolation error Kalman filter Prediction error
Type of publication: Article
Source:
Persistent link: https://www.econbiz.de/10005319683
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