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Title: Sensitivity Analysis of the Risk of Forecasting for Autoregressive Time Series with Missing Values
Authors: S. Kharin, Yu.
S. Huryn, A.
Keywords: Forecasting
Missing values
Issue Date: 2005
Publisher: Institute of Mathematics and Informatics Bulgarian Academy of Sciences
Citation: Pliska Studia Mathematica Bulgarica, Vol. 17, No 1, (2005), 137p-146p
Abstract: 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.
Description: 2000 Mathematics Subject Classification: 62M20, 62M10, 62-07.
ISSN: 0204-9805
Appears in Collections:2005 Volume 17

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