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EXACT LEAST SQUARES MULTI‐STEP PREDICTION FROM NONLINEAR AUTOREGRESSIVE MODELS
Author(s) -
Pemberton John.
Publication year - 1987
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/j.1467-9892.1987.tb00007.x
Subject(s) - autoregressive model , mathematics , star model , non linear least squares , nonlinear autoregressive exogenous model , setar , nonlinear system , least squares function approximation , series (stratigraphy) , generalized least squares , relation (database) , time series , explained sum of squares , statistics , autoregressive integrated moving average , computer science , database , paleontology , physics , quantum mechanics , estimator , biology
. We obtain an integral equation recurrence relation for the optimal least squares predictor of a nonlinear autoregressive time series model. Numerical solutions are given for a first order threshold model up to three steps ahead.