Extrapolations in non-linear autoregressive processes

被引：0

作者：

Andel, J ^{[1
]}

Dupac, V ^{[1
]}

机构：

[1] Charles Univ, Fac Math & Phys, Dept Probabil & Stat, CR-18600 Prague 8, Czech Republic

来源：

KYBERNETIKA | 1999年 / 35卷 / 03期

关键词：

D O I：

暂无

中图分类号：

TP3 [计算技术、计算机技术];

学科分类号：

0812 ;

摘要：

We derive a formula for m-step least-squares extrapolation in non-linear AR(p) processes and compare it with the naive extrapolation. The least-squares extrapolation depends on the distribution of white noise. Some bounds for it are derived that depend only on the expectation of white noise. An example shows that in general case the difference between both types of extrapolation can be very large. Further, a formula for least-squares extrapolation in multidimensional non-linear AR(p) process is derived.

引用

页码：383 / 389

页数：7

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