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
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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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