Optimal Linear Prediction
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The Theory of Linear Prediction
Author: P. P. Vaidyanathan
language: en
Publisher: Morgan & Claypool Publishers
Release Date: 2008
Of Properties Relating to Levinson's Recursion.
Optimal Linear Prediction
Necessary and sufficient conditions are given so that, for the most general regression model, Y = X(beta) + u the least squares estimator of (X' sub zero)Beta is the same as the best linear unbiased predictor of (y sub zero) = (X' sub zero)beta + (u sub zero). (Author).