Search Results - subject:"Linear recurrent formula"

A state-dependent linear recurrent formula with application to time series with structural breaks

Rahmani, Donya; Fay, Damien - In: Journal of forecasting 41 (2022) 1, pp. 43-63

Persistent link: https://www.econbiz.de/10012796267

On The Theory and Practice of Singular Spectrum Analysis Forecasting

Khan, M. Atikur Rahman; Poskitt, D.S. - Department of Econometrics and Business Statistics, … - 2014

Theoretical results on the properties of forecasts obtained using singular spectrum analysis are presented in this paper. The mean squared forecast error is derived under broad regularity conditions, and it is shown that the forecasts obtained in practice will converge to their population...

Persistent link: https://www.econbiz.de/10010958947

Forecasting stochastic processes using singular spectrum analysis : aspects of the theory and application

Rahman Khan, Md. Atikur; Poskitt, Donald Stephen - In: International journal of forecasting 33 (2017) 1, pp. 199-213

Persistent link: https://www.econbiz.de/10011754700