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Competitive Stats
Q133Section III (Statistics)133 of 145

Interpolating an AR(1): both neighbours get weight ϕ/(1+ϕ2)\phi/(1+\phi^2)

In an AR(1) model Xt=0.5Xt−1+ZtX_t=0.5X_{t-1}+Z_t, Zt∼Z_t\sim iid normal (0,1)(0,1), the best linear predictor aX1+bX3aX_1+bX_3 of X2X_2 using (X1,X3)(X_1,X_3) will have:

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