Home Forums SOA Exams Estimation based on MA prediction


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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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