Geodesic
Efficiency of some algorithms for prediction in finite stationary time series
Kybernetika, Tome 40 (2004) no. 6, pp. 703-714

Voir la notice de l'article provenant de la source Czech Digital Mathematics Library

MR Zbl
Important characteristics of any algorithm are its complexity and speed in real calculations. From this point of view, we analyze some algorithms for prediction in finite stationary time series. First, we review results developed by P. Bondon [1] and then, we derive the complexities of Levinson and a new algorithm. It is shown that the time needed for real calculations of predictions is proportional to the theoretical complexity of the algorithm. Some practical recommendations for the selection of the best algorithm are given.
Important characteristics of any algorithm are its complexity and speed in real calculations. From this point of view, we analyze some algorithms for prediction in finite stationary time series. First, we review results developed by P. Bondon [1] and then, we derive the complexities of Levinson and a new algorithm. It is shown that the time needed for real calculations of predictions is proportional to the theoretical complexity of the algorithm. Some practical recommendations for the selection of the best algorithm are given.
Classification : 60G25, 62M10, 62M20
Keywords: stationary time series; multistep prediction; Levinson’s algorithm; innovations algorithm 
Ranocha, Pavel. Efficiency of some algorithms for prediction in finite stationary time series. Kybernetika, Tome 40 (2004) no. 6, pp. 703-714. http://geodesic.mathdoc.fr/item/KYB_2004_40_6_a4/
@article{KYB_2004_40_6_a4,
     author = {Ranocha, Pavel},
     title = {Efficiency of some algorithms for prediction in finite stationary time series},
     journal = {Kybernetika},
     pages = {703--714},
     year = {2004},
     volume = {40},
     number = {6},
     mrnumber = {2120392},
     zbl = {1249.60081},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/KYB_2004_40_6_a4/}
}
TY  - JOUR
AU  - Ranocha, Pavel
TI  - Efficiency of some algorithms for prediction in finite stationary time series
JO  - Kybernetika
PY  - 2004
SP  - 703
EP  - 714
VL  - 40
IS  - 6
UR  - http://geodesic.mathdoc.fr/item/KYB_2004_40_6_a4/
LA  - en
ID  - KYB_2004_40_6_a4
ER  - 
%0 Journal Article
%A Ranocha, Pavel
%T Efficiency of some algorithms for prediction in finite stationary time series
%J Kybernetika
%D 2004
%P 703-714
%V 40
%N 6
%U http://geodesic.mathdoc.fr/item/KYB_2004_40_6_a4/
%G en
%F KYB_2004_40_6_a4