Forecasting unstable processes

MaRDI QIDQ5326960zbMATH OpenFDO

Authors Jin-Lung Lin, Ching-Zong Wei

Publication date 1 August 2013

Full work available at URL https://arxiv.org/abs/math/0702771

zbMATH Keywords

adaptive forecastsdirect forecastsplug-in forecastsstrong convergenceunit roots

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)

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Cited in

(4)

• Forecasting autoregressive time series in the presence of deterministic components
• On unstable and unoptimal prediction
• Fathoming the theta method for a unit root process
• Toward optimal multistep forecasts in non-stationary autoregressions

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