Email this article FORECASTING OF AUTOREGRESSIVE TIME SERIES UNDER CENSORING
- Authors: Bodyagin I.A.1, Kharin Y.S.1, Badziahin IA1, Kharin Y.S1
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- Issue: Vol 11, No 5 (2010)
- Pages: 22-25
- Section: Articles
- URL: https://journals.eco-vector.com/2712-8970/article/view/504871
- ID: 504871
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Abstract
Problems of statistical forecasting are considered for autoregressive time series observed under interval censoring. Optimal forecasting statistic is proposed, its mean-square risk is evaluated. Comparison of optimal and widely used in practice forecasting statistics is made. Numerical results are given.
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About the authors
Igor' Aleksandrovich Bodyagin
Email: bodiagin@cosmostv.by
Yuriy Semenovich Kharin
Email: kharin@bsu.by
I A Badziahin
Yu S Kharin
References
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- Park J. W., Genton M. G., Ghosh S. K. Censored time series analysis with autoregressive moving average models // The Canadian Journal of Statistics. 2007. Vol. 35, № 1. P. 151-168.
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- Градштейн И. С., Рыжик И. М. Таблицы интегралов, сумм, рядов и произведений. М. : Физматгиз, 1963.
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