if we further assume the AR(1) series being a Gaussian process, please give the general formula for the 95% m-step prediction interval.

Algebra & Trigonometry with Analytic Geometry
13th Edition
ISBN:9781133382119
Author:Swokowski
Publisher:Swokowski
Chapter11: Topics From Analytic Geometry
Section: Chapter Questions
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for the above problem, if we further assume the AR(1) series being a Gaussian process,
please give the general formula for the 95% m-step prediction interval.  

3.15 For an AR(1) model, determine the general form of the m-step-ahead
forecast rm and show
t+m
1- 62m
E[(r++m – r+m)*]
1- 02
Transcribed Image Text:3.15 For an AR(1) model, determine the general form of the m-step-ahead forecast rm and show t+m 1- 62m E[(r++m – r+m)*] 1- 02
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