A RANDOM PARAMETER PROCESS FOR MODELING AND FORECASTING TIME SERIES

DOI10.1111/J.1467-9892.1986.TB00488.XMaRDI QIDQ3716154zbMATH OpenOpenAlexFDO

Authors Deborah A. Guyton, Nien Fan Zhang, Robert V. Foutz

Publication date 1986

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9892.1986.tb00488.x

zbMATH Keywords

existence of a stationary GAR processgeneralized autoregressive (GAR) processmaximum likelihood estimatesminimum mean squared error forecastsrandom parameterrecurrence relationtime series modelingwhite noise

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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Cites work

• Autoregressive series with random parameters
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• scientific article; zbMATH DE number 3256931 (Why is no real title available?)

Cited in

(20)

• On properties of the second order generalized autoregressive GAR(2) model with index
• Using the methods of successive analysis for forecasting abrupt changes in random time series
• An introduction to stochastic unit-root processes
• Efficient detection of random coefficients in autoregressive models
• A parametric, information-theory model for predictions in time series
• Forecast of random oscillation processes based on the method of exponential smoothing
• On the construction of uncertain time series surrogates using polynomial chaos and Gaussian processes
• Asymptotics for the random coefficient first-order autoregressive model with possibly heavy-tailed innovations
• Estimation on a GAR(1) Process by the EM Algorithm
• scientific article; zbMATH DE number 4036982 (Why is no real title available?)
• Exact predictors for a generalized ar(1) process with an ar(1) parameter
• A higher-order random-parameter process for modeling and porecasting time series
• scientific article; zbMATH DE number 4102346 (Why is no real title available?)
• On nonlinear models for time series
• scientific article; zbMATH DE number 4126459 (Why is no real title available?)
• Approximate asymptotic variance-covariance matrix for the Whittle estimators of GAR(1) parameters
• On a class of generalized autoregressive processes
• Statistical inference of generalized random coefficient autoregressive model based on combine estimation method
• Limit theory for random coefficient first-order autoregressive process under martingale difference error sequence
• Asymptotic Inference in the Random Coefficient Autoregressive Model with Time-functional Variance Noises

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