A note on a prediction interval for a first‐order Gauss Markov process
Toke Jayachandran · Naval Research Logistics Quarterly · 1983
Abstract Let Xt, t = 1,2, ⃛, be a stationary Gaussian Markov process with E(Xt) = μ and Cov(Xt, Xt+k) = σ2ρk. We derive a prediction interval for X2n+1 based on the preceding 2n observations X1,X2, ⃛,X2n.