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Keywords:
nonlinear autoregressive process; least-squares extrapolation
nonlinear autoregressive process; least-squares extrapolation
Summary:
The naïve and the least-squares extrapolation are investigated in the fractional autoregressive models of the first order. Some explicit formulas are derived for the one and two steps ahead extrapolation.
References:
[1] Jones R. H.: An experiment in non–linear prediction. J. Appl. Meteorol. 4 (1965), 701–705 DOI 10.1175/1520-0450(1965)004<0701:AEINLP>2.0.CO;2
[2] Pemberton J.: Exact least squares multi–step prediction from nonlinear autoregressive models. J. Time Ser. Anal. 8 (1987), 443–448 DOI 10.1111/j.1467-9892.1987.tb00007.x | MR 0917796
[3] Tong H.: Non–linear Time Series. Clarendon Press, Oxford 1990 Zbl 0835.62076
[4] Research, Wolfram, Inc.: Mathematica, Version 2. 2, Champaign, Illinois 1994
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