中国科学院机构知识库网格
Chinese Academy of Sciences Institutional Repositories Grid
Multi-step prediction for nonlinear autoregressive models based on empirical distributions

文献类型:期刊论文

作者Guo, MH; Bai, ZD; An, HZ
刊名STATISTICA SINICA
出版日期1999-04-01
卷号9期号:2页码:559-570
关键词empirical distribution multi-step prediction nonlinear autoregressive model
ISSN号1017-0405
英文摘要A multi-step prediction procedure for nonlinear autoregressive (NLAR) models based on empirical distributions is proposed. Calculations involved in this prediction scheme are rather simple. It is shown that the proposed predictors are asymptotically equivalent to the exact least squares multi-step predictors, which are computable only when the innovation distribution has a simple known form. Simulation studies are conducted for two- and three-step predictors of two NLAR models.
WOS研究方向Mathematics
语种英语
WOS记录号WOS:000080200200013
出版者STATISTICA SINICA
源URL[http://ir.amss.ac.cn/handle/2S8OKBNM/14240]  
专题中国科学院数学与系统科学研究院
通讯作者Guo, MH
作者单位1.Natl Sun Yat Sen Univ, Dept Appl Math, Kaohsiung 80424, Taiwan
2.Natl Univ Singapore, Dept Math, Singapore, Singapore
3.Acad Sinica, Inst Appl Math, Beijing 100080, Peoples R China
推荐引用方式
GB/T 7714
Guo, MH,Bai, ZD,An, HZ. Multi-step prediction for nonlinear autoregressive models based on empirical distributions[J]. STATISTICA SINICA,1999,9(2):559-570.
APA Guo, MH,Bai, ZD,&An, HZ.(1999).Multi-step prediction for nonlinear autoregressive models based on empirical distributions.STATISTICA SINICA,9(2),559-570.
MLA Guo, MH,et al."Multi-step prediction for nonlinear autoregressive models based on empirical distributions".STATISTICA SINICA 9.2(1999):559-570.

入库方式: OAI收割

来源:数学与系统科学研究院

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