Multistep Prediction in Autoregressive Processes

@inproceedings{Ing2003MultistepPI,
  title={Multistep Prediction in Autoregressive Processes},
  author={Ching-Kang Ing},
  year={2003}
}
In this paper , two competing types of multistep predictors , i+e+, plug-in and direct predictors, are considered in autoregressive ~AR! processes +When a working model AR~k! is used for theh-step prediction withh . 1, the plug-in predictor is obtained from repeatedly using the fitted ~by least squares ! AR~k! model with an unknown future value replaced by their own forecasts , and the direct predictor is obtained by estimating the h-step prediction model’s coefficients directly by linear least… CONTINUE READING

References

Publications referenced by this paper.
Showing 1-7 of 7 references

On same-realization prediction in an infinite-order autoregressive process+

  • Ing, CK, CZ Wei
  • Journal of Multivariate Analysis
  • 2002

~2002! AIC, overfitting principles, and boundedness of moments of inverse matrices for vector autoregressive models fit to weakly stationary time series

  • Findley, DF, CZ Wei
  • 2002

+H+A+ Davis ~1989! Strong consistency of the PLS criterion for order determi

  • Hemerly, EM M
  • 1989

Adaptive prediction by least squares predictors in stochastic regression models with application to time series

  • Wei, CZ
  • 1987

Order estimation by accumulated prediction errors

  • J Rissanen
  • 1986

Properties of predictors in misspecified autoregressive time series+

  • Kunitomo, N T
  • Journal of the American Statistical Association
  • 1985

Estimating of dimension of a model

  • G Schwarz
  • 1978

Similar Papers

Loading similar papers…