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Kybernetika 34(3):309-316, 1998.

Extrapolation in Fractional Autoregressive Models.

Jiří Anděl and Georg Neuhaus


Abstract:

The na\"{\i}ve and the least-squares extrapolation are investigated in the fractional autoregressive models of the first order. Some explicit formulas are derived for the one and two steps ahead extrapolation.


AMS: 60G;


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BIB TeX

@article{kyb:1998:3:309-316,

author = {And\v{e}l, Ji\v{r}\'{\i} and Neuhaus, Georg},

title = {Extrapolation in Fractional Autoregressive Models.},

journal = {Kybernetika},

volume = {34},

year = {1998},

number = {3},

pages = {309-316}

publisher = {{\'U}TIA, AV {\v C}R, Prague },

}


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