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Optimum Predictor in Stationary First-order Moving Average Process

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Abstract

In this article, some linear predictors have been introduced for prediction in a first-order moving average process, \({\rm{M}}{\rm{A}}(1)\). Two comparison criteria, the Pitman’s measure of closeness and mean square error of prediction have been applied to find the best linear predictor in the introduced class. Estimation of parameters has been done by MLE method. As an illustrative example, the analysis of a real data set has also been performed.

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Authors and Affiliations

  1. Department of Statistics, Higher Education Center of Eghlid, Eghlid, Iran

    Mohammad Mehdi Saber

  2. Department of Statistics, Shiraz University, Shiraz, Iran

    Kavoos Khorshidian

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  1. Mohammad Mehdi Saber
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  2. Kavoos Khorshidian
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Correspondence to Mohammad Mehdi Saber.

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Saber, M. ., Khorshidian, K. Optimum Predictor in Stationary First-order Moving Average Process. Iran J Sci Technol Trans Sci 45, 1757–1764 (2021). https://doi.org/10.1007/s40995-021-01172-7

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  • DOI: https://doi.org/10.1007/s40995-021-01172-7

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