predicts the future value of a stationary random process from
observation of past values of the process
the objective is to predict x(n) by a weighted linear
combination of the past values x(n-1),......, x(n-p)
giving the linear predicted value of x(n) as:
Where
represent the weights in the linear
combination and are called as prediction coefficients
the difference between x(n) and it's predicted value is
called forward prediction error, given as: