Geodesic
Extrapolation in fractional autoregressive models
Kybernetika, Tome 34 (1998) no. 3, pp. 309-316
Cet article a éte moissonné depuis la source Czech Digital Mathematics Library

Voir la notice de l'article

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.
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.
Classification : 60G22, 62M10, 62M20
Keywords: nonlinear autoregressive process; least-squares extrapolation 
@article{KYB_1998_34_3_a3,
     author = {And\v{e}l, Ji\v{r}{\'\i} and Neuhaus, Georg},
     title = {Extrapolation in fractional autoregressive models},
     journal = {Kybernetika},
     pages = {309--316},
     year = {1998},
     volume = {34},
     number = {3},
     mrnumber = {1640974},
     zbl = {1274.62571},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/KYB_1998_34_3_a3/}
}
TY  - JOUR
AU  - Anděl, Jiří
AU  - Neuhaus, Georg
TI  - Extrapolation in fractional autoregressive models
JO  - Kybernetika
PY  - 1998
SP  - 309
EP  - 316
VL  - 34
IS  - 3
UR  - http://geodesic.mathdoc.fr/item/KYB_1998_34_3_a3/
LA  - en
ID  - KYB_1998_34_3_a3
ER  - 
%0 Journal Article
%A Anděl, Jiří
%A Neuhaus, Georg
%T Extrapolation in fractional autoregressive models
%J Kybernetika
%D 1998
%P 309-316
%V 34
%N 3
%U http://geodesic.mathdoc.fr/item/KYB_1998_34_3_a3/
%G en
%F KYB_1998_34_3_a3
Anděl, Jiří; Neuhaus, Georg. Extrapolation in fractional autoregressive models. Kybernetika, Tome 34 (1998) no. 3, pp. 309-316. http://geodesic.mathdoc.fr/item/KYB_1998_34_3_a3/

[1] Jones R. H.: An experiment in non–linear prediction. J. Appl. Meteorol. 4 (1965), 701–705 | DOI

[2] Pemberton J.: Exact least squares multi–step prediction from nonlinear autoregressive models. J. Time Ser. Anal. 8 (1987), 443–448 | DOI | MR

[3] Tong H.: Non–linear Time Series. Clarendon Press, Oxford 1990 | Zbl

[4] Research, Wolfram, Inc.: Mathematica, Version 2. 2, Champaign, Illinois 1994