Estimation based on MA prediction

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    VinceZhiQin
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    Here’s the problem:

    I got two time series {Xt} and {Yt}, and I found the correlation between them is rho. As I had the last observation of these two series which are Xn and Yn, and predicted the value of {Xt} in next period is Xn+1 based on MA model.

    How can I estimate the value of {Yt} in the next period (Yn+1) with these numbers?

    Or if there’s more information I need to have to calculate Yn+1?

    Very appreciate if someone could help me, many thanks!

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