| Title:
|
Extrapolation in fractional autoregressive models (English) |
| Author:
|
Anděl, Jiří |
| Author:
|
Neuhaus, Georg |
| Language:
|
English |
| Journal:
|
Kybernetika |
| ISSN:
|
0023-5954 |
| Volume:
|
34 |
| Issue:
|
3 |
| Year:
|
1998 |
| Pages:
|
[309]-316 |
| Summary lang:
|
English |
| . |
| Category:
|
math |
| . |
| Summary:
|
The naïve and the least-squares extrapolation are investigated in the fractional autoregressive models of the first order. Some explicit formulas are derived for the one and two steps ahead extrapolation. (English) |
| Keyword:
|
nonlinear autoregressive process |
| Keyword:
|
least-squares extrapolation |
| MSC:
|
60G22 |
| MSC:
|
62M10 |
| MSC:
|
62M20 |
| idZBL:
|
Zbl 1274.62571 |
| idMR:
|
MR1640974 |
| . |
| Date available:
|
2009-09-24T19:16:24Z |
| Last updated:
|
2015-03-28 |
| Stable URL:
|
http://hdl.handle.net/10338.dmlcz/135209 |
| . |
| Reference:
|
[1] Jones R. H.: An experiment in non–linear prediction.J. Appl. Meteorol. 4 (1965), 701–705 10.1175/1520-0450(1965)004<0701:AEINLP>2.0.CO;2 |
| Reference:
|
[2] Pemberton J.: Exact least squares multi–step prediction from nonlinear autoregressive models.J. Time Ser. Anal. 8 (1987), 443–448 MR 0917796, 10.1111/j.1467-9892.1987.tb00007.x |
| Reference:
|
[3] Tong H.: Non–linear Time Series.Clarendon Press, Oxford 1990 Zbl 0835.62076 |
| Reference:
|
[4] Research, Wolfram, Inc.: Mathematica, Version 2.2, Champaign, Illinois 1994 |
| . |
