Sensitivity Analysis of the Risk of Forecasting for Autoregressive Time Series with Missing Values
| Data(s) |
26/01/2014
26/01/2014
2005
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|---|---|
| Resumo |
2000 Mathematics Subject Classification: 62M20, 62M10, 62-07. The problems of statistical forecasting of vector autoregressive time series with missing values are considered for different levels of prior information on the parameters of the underlying model. The mean square risk of forecasting and the risk sensitivity coefficient are evaluated and analyzed. Results of numerical experiments are presented. Partially supported by INTAS 03-51-3714 |
| Identificador |
Pliska Studia Mathematica Bulgarica, Vol. 17, No 1, (2005), 137p-146p 0204-9805 |
| Idioma(s) |
en |
| Publicador |
Institute of Mathematics and Informatics Bulgarian Academy of Sciences |
| Palavras-Chave | #Forecasting #Autoregression #Missing values #Risk #Sensitivity |
| Tipo |
Article |
