Academic Journal
On Optimal Adaptive Prediction of Multivariate Autoregression
| Τίτλος: | On Optimal Adaptive Prediction of Multivariate Autoregression |
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| Συγγραφείς: | Kusainov, Marat I., Vasiliev, Vyacheslav A. |
| Συνεισφορές: | Томский государственный университет Факультет прикладной математики и кибернетики Кафедра высшей математики и математического моделирования, Томский государственный университет Факультет прикладной математики и кибернетики Публикации студентов и аспирантов ФПМК |
| Πηγή: | Sequential Analysis. 2015. Vol. 34, № 2. P. 211-234 |
| Στοιχεία εκδότη: | Informa UK Limited, 2015. |
| Έτος έκδοσης: | 2015 |
| Θεματικοί όροι: | размер выборки, авторегрессия, адаптивные предикторы, асимптотическая эффективность рисков, 0101 mathematics, 16. Peace & justice, 01 natural sciences |
| Περιγραφή: | The problem of asymptotic efficiency of adaptive one-step predictors for a stable multivariate first-order autoregressive process (AR(1)) with unknown parameters is considered. The predictors are based on the truncated estimators of the dynamic matrix parameter. The truncated estimation method is a modification of the truncated sequential estimation method that makes it possible to obtain estimators of ratio-type functionals with a given accuracy by samples of fixed size. The criterion of optimality is based on the loss function, defined as a sum of sample size and squared prediction error's sample mean. The cases of known and unknown variance of the noise model are studied. In the latter case the optimal sample size is a special stopping time. The simulation results are given. |
| Τύπος εγγράφου: | Article |
| Περιγραφή αρχείου: | application/pdf |
| Γλώσσα: | English |
| ISSN: | 1532-4176 0747-4946 |
| DOI: | 10.1080/07474946.2015.1030977 |
| Σύνδεσμος πρόσβασης: | http://www.tandfonline.com/doi/citedby/10.1080/07474946.2015.1030977 http://vital.lib.tsu.ru/vital/access/manager/Repository/vtls:000513552 |
| Αριθμός Καταχώρησης: | edsair.doi.dedup.....a1e5f6c04f36b0951e6e76dbab6a63d2 |
| Βάση Δεδομένων: | OpenAIRE |
| ISSN: | 15324176 07474946 |
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| DOI: | 10.1080/07474946.2015.1030977 |