Asymmetric recursive methods for time series

Cipra, Tomáš. "Asymmetric recursive methods for time series." Applications of Mathematics 39.3 (1994): 203-214. <http://eudml.org/doc/32879>.

@article{Cipra1994,
abstract = {The problem of asymmetry appears in various aspects of time series modelling. Typical examples are asymmetric time series, asymmetric error distributions and asymmetric loss functions in estimating and predicting. The paper deals with asymmetric modifications of some recursive time series methods including Kalman filtering, exponential smoothing and recursive treatment of Box-Jenkins models.},
author = {Cipra, Tomáš},
journal = {Applications of Mathematics},
keywords = {asymmetric recursive methods; time series; Kalman filter; exponential smoothing; asymmetric time series; autoregressive model; split-normal distribution; autoregressive model; split-normal distribution; asymmetric least squares; asymmetric recursive estimation; asymmetric time series; asymmetric error distributions; asymmetric loss functions; recursive time series methods; Kalman filtering; exponential smoothing; recursive treatment of Box-Jenkins models},
language = {eng},
number = {3},
pages = {203-214},
publisher = {Institute of Mathematics, Academy of Sciences of the Czech Republic},
title = {Asymmetric recursive methods for time series},
url = {http://eudml.org/doc/32879},
volume = {39},
year = {1994},
}

TY - JOUR
AU - Cipra, Tomáš
TI - Asymmetric recursive methods for time series
JO - Applications of Mathematics
PY - 1994
PB - Institute of Mathematics, Academy of Sciences of the Czech Republic
VL - 39
IS - 3
SP - 203
EP - 214
AB - The problem of asymmetry appears in various aspects of time series modelling. Typical examples are asymmetric time series, asymmetric error distributions and asymmetric loss functions in estimating and predicting. The paper deals with asymmetric modifications of some recursive time series methods including Kalman filtering, exponential smoothing and recursive treatment of Box-Jenkins models.
LA - eng
KW - asymmetric recursive methods; time series; Kalman filter; exponential smoothing; asymmetric time series; autoregressive model; split-normal distribution; autoregressive model; split-normal distribution; asymmetric least squares; asymmetric recursive estimation; asymmetric time series; asymmetric error distributions; asymmetric loss functions; recursive time series methods; Kalman filtering; exponential smoothing; recursive treatment of Box-Jenkins models
UR - http://eudml.org/doc/32879
ER -