A new methodology for optimal linear prediction of a stationary time series is introduced. Given a sample X1,…,Xn, the optimal linear predictor of Xn+1 is Xn+1 = Φ1(n)Xn + Φ2(n)Xn−1 + + Φn(n)X1. In practice, the coefficient ...

Traditional kernel spectral density estimators are linear as a function of the sample autocovariance sequence. The purpose of this article is to propose and analyse two new spectral estimation methods that are based on the ...