Multistep Prediction in Autoregressive Processes

  title={Multistep Prediction in Autoregressive Processes},
  author={Ching-Kang Ing},
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


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