| EXPTAR(1)过程的递推预测 |
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| 引用本文： | 陈家鑫. EXPTAR(1)过程的递推预测[J]. 汕头大学学报(自然科学版), 1992, 7(2): 30-38 |
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| 作者姓名： | 陈家鑫 |
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| 摘 要： | 本文推广文献[4]关于EXPTAR(1)过程的预测方法,给出EXPTAR(1)的递推预测方法,系统噪声不再限定为正态白噪声,适用于更广泛的指数型噪声的范围,模拟计算表明EXPTAR(1)的递推预测效果优于外推法预测效果。
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| 关 键 词： | EXPTAR(1)过程 指数型分布族 可测函数 条件数学期望 预测误差 外推法预测 指数型预测 |
Forecasting Exponential—Type Autoregressive Models of Order 1 |
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| Chen Jiaxin. Forecasting Exponential—Type Autoregressive Models of Order 1[J]. Journal of Shantou University(Natural Science Edition), 1992, 7(2): 30-38 |
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| Authors: | Chen Jiaxin |
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| Affiliation: | Chen Jiaxin |
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| Abstract: | In this paper, We discuss the recurrence formula of EXPTAR (1) models for forecasting and the recurrence formula of Variance for forecasting error. Noises for the system include those besides the normal white noise so as to cater a wide. range of exponential-type noise. Finally, a comparison is made between the extrapolated forecosting method and the exponential-type forecasting method by similation calculation. |
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| Keywords: | EXPTAR(1) processes family of exponential—type distribution measurable function conditional expectation forecasting error extrapolated forecasting method exponential—type forecasting mothod |
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