ABSTRACT
Zidek,J.,DiscussionofCopas(1983),Regression,predictionandshrinkage, pp.347-48.J.Roy.Statist.Soc.B45:311-335(1983).
Zygmund,A.,TrigonometricSeries,CambridgeUniv.Press,Cambridge, !968.
APPENDIX TheestimatepresentedinthemiddlepanelofFig.7isordinaryleast squares.(Inmanytimeseriessituationssuchestimatesareasymptotically efficient.)
ThemodelshowninEq.(5.16)islinearino:andthe"'nk·Itmaybewritten y=X"(+Zo:+E
takingZ=[t-1]andX=[X1k],withX1k=Ifork/2":::;t/T<(k+1)/T and0otherwise.Itisseentohavetheformofananalysisofcovariance model.Theleastsquaresestimatesmaybewritten
withP=I-X(X'X)- 1X'.
