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JSRI 2020, 16(2): 409-446 Back to browse issues page
Best Linear Predictors in a Stationary Second Order Autoregressive process by means of near and far observations
Mohammad Mahdi Saber *
, mmsaber@eghlid.ac.ir
Abstract:   (578 Views)
In this paper, some predictors for prediction in a stationary second order autoregressive process are introduced. The paper attempts to find the best predictor for some cases such as circumstances there exist a fixed number of observations near or far from desired time. Pitman's measure of closeness and mean square error of prediction are used in order to comparison these predictors. The Gaussian and Gamma distributions have been used for distribution of errors. Finally analysis of two real data sets has also been presented for illustrative purposes.
 
Keywords:  AR(2) model, prediction performance, Pitman's measure of closeness.
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Type of Study: Research | Subject: General
Received: 2020/10/27 | Accepted: 2021/05/1 | Published: 2021/09/19
References
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Saber M M. Best Linear Predictors in a Stationary Second Order Autoregressive process by means of near and far observations. JSRI. 2020; 16 (2) :409-446
URL: http://jsri.srtc.ac.ir/article-1-380-en.html


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Volume 16, Issue 2 (3-2020) Back to browse issues page
مجله‌ی پژوهش‌های آماری ایران Journal of Statistical Research of Iran JSRI
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