EXTRAPOLATION IN FRACTIONAL AUTOREGRESSIVE MODELS

Authors
ANDEL J NEUHAUS G
Citation
J. Andel et G. Neuhaus, EXTRAPOLATION IN FRACTIONAL AUTOREGRESSIVE MODELS, Kybernetika, 34(3), 1998, pp. 309-316
Citations number
4
Categorie Soggetti
Computer Science Cybernetics","Computer Science Cybernetics
Journal title
Kybernetika → ACNP
ISSN journal
00235954
Volume
34
Issue
3
Year of publication
1998
Pages
309 - 316
Database
ISI
SICI code
0023-5954(1998)34:3<309:EIFAM>2.0.ZU;2-B
Abstract
The naive and the least-squares extrapolation are investigated in the fractional autoregressive models of the first order. Some explicit for mulas are derived for the one and two steps ahead extrapolation.