CLAR(1) point forecasting under estimation uncertainty
نویسندگان
چکیده
منابع مشابه
Forecasting Under Structural Break Uncertainty
This paper proposes two new weighting schemes that average forecasts using different estimation windows to account for structural change. We let the weights reflect the probability of each time point being the most-recent break point, and we use the reversed ordered Cusum test statistics to capture this intuition. The second weighting method simply imposes heavier weights on those forecasts tha...
متن کاملModel identification for hydrological forecasting under uncertainty
Methods for the identification of models for hydrological forecasting have to consider the specific nature of these models and the uncertainties present in the modeling process. Current approaches fail to fully incorporate these two aspects. In this paper we review the nature of hydrological models and the consequences of this nature for the task of model identification. We then continue to dis...
متن کاملEllipsoidal Estimation under Model Uncertainty
Ellipsoidal outer-bounding under model uncertainty is a natural extension of state estimation for models with unknown-but-bounded errors. The technique described in this paper applies to linear discrete-time dynamic systems. Many difficulties arise because of the non-convexity of feasible sets. Analytical optimal or suboptimal solutions are presented, which are counterparts in this context of u...
متن کاملProbabilistic Optimal Estimation under Uncertainty
The classical approach to system identification is based on stochastic assumptions about the measurement error, and provides estimates that have random nature. Worst-case identification, on the other hand, only assumes the knowledge of deterministic error bounds, and establishes guaranteed estimates, thus being in principle better suited for the use in control design. However, a main limitation...
متن کاملChange - Point Estimation Under Asymmetric
In the asymptotic setting of the change-point estimation problem the limiting behavior of Bayes procedures for a general loss function is studied. It is demonstrated that the distribution of the diierence between the Bayes estimator and the parameter converges to the distribution of a (nondegenerate) random variable. The sequence of minimum Bayes risks is shown to converge to its supremum, and ...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Statistica Neerlandica
سال: 2020
ISSN: 0039-0402,1467-9574
DOI: 10.1111/stan.12206