Multi-step prediction for nonlinear autoregressive models based on empirical distributions

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	Multi-step prediction for nonlinear autoregressive models based on empirical distributions
	Guo, MH ; Bai, ZD ; An, HZ
	1999-04-01
发表期刊	STATISTICA SINICA
ISSN	1017-0405
卷号	9 期号:2 页码:559-570
摘要	A multi-step prediction procedure for nonlinear autoregressive (NLAR) models based on empirical distributions is proposed. Calculations involved in this prediction scheme are rather simple. It is shown that the proposed predictors are asymptotically equivalent to the exact least squares multi-step predictors, which are computable only when the innovation distribution has a simple known form. Simulation studies are conducted for two- and three-step predictors of two NLAR models.
关键词	empirical distribution multi-step prediction nonlinear autoregressive model
语种	英语
WOS研究方向	Mathematics
WOS类目	Statistics & Probability
WOS记录号	WOS:000080200200013
出版者	STATISTICA SINICA
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/14241
专题	中国科学院数学与系统科学研究院
通讯作者	Guo, MH
作者单位	1.Natl Sun Yat Sen Univ, Dept Appl Math, Kaohsiung 80424, Taiwan 2.Natl Univ Singapore, Dept Math, Singapore, Singapore 3.Acad Sinica, Inst Appl Math, Beijing 100080, Peoples R China
推荐引用方式 GB/T 7714	Guo, MH,Bai, ZD,An, HZ. Multi-step prediction for nonlinear autoregressive models based on empirical distributions[J]. STATISTICA SINICA,1999,9(2):559-570.
APA	Guo, MH,Bai, ZD,&An, HZ.(1999).Multi-step prediction for nonlinear autoregressive models based on empirical distributions.STATISTICA SINICA,9(2),559-570.
MLA	Guo, MH,et al."Multi-step prediction for nonlinear autoregressive models based on empirical distributions".STATISTICA SINICA 9.2(1999):559-570.