Displaying similar documents to “Extrapolation in fractional autoregressive models”

Extrapolations in non-linear autoregressive processes

Jiří Anděl, Václav Dupač (1999)

Kybernetika

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We derive a formula for m -step least-squares extrapolation in non-linear AR ( p ) processes and compare it with the naïve extrapolation. The least- squares extrapolation depends on the distribution of white noise. Some bounds for it are derived that depend only on the expectation of white noise. An example shows that in general case the difference between both types of extrapolation can be very large. Further, a formula for least-squares extrapolation in multidimensional non-linear AR( p )...

On invertibility of a random coefficient moving average model

Tomáš Marek (2005)

Kybernetika

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A linear moving average model with random coefficients (RCMA) is proposed as more general alternative to usual linear MA models. The basic properties of this model are obtained. Although some model properties are similar to linear case the RCMA model class is too general to find general invertibility conditions. The invertibility of some special examples of RCMA(1) model are investigated in this paper.