Prediction in first order autoregressive processes, a small sample simulation

Prediction in first order autoregressive processes, a small sample simulation

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Article ID: iaor2004439
Country: United States
Volume: 21
Issue: 1/2
Start Page Number: 125
End Page Number: 143
Publication Date: Jan 2001
Journal: American Journal of Mathematical and Management Sciences
Authors:
Keywords: ARIMA processes
Abstract:

In this paper the author elucidates how the estimation of the unknown parameters, such as the mean, the variance, or the correlation coefficient, affects the prediction bounds or limits in a first order autoregressive process. Two predictive densities are given, they correct the usual prediction limits in a way that, for very small samples, the new prediction limits are practically exact.

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