ABSTRACT
Animportantquestioninempiricaltimeseriesanalysisishowtopredict thefuturevaluesofanobservedtimeseriesonthebasisofitsrecordedpast. Afundamentalcontributiontowardsansweringthisquestion,dueto Kolmogorov(1939)andWiener(1949),iscommonlyknownasthe Wiener-Kolmogorovpredictiontheory,andithelpsalsotounifymanyof therecentdevelopmentsinTimeSeriesAnalysis,especiallythosebasedon linearmodels.
