CLAR(1) point forecasting under estimation uncertainty

Simon Nik; Christian H.Weiss

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CLAR(1) point forecasting under estimation uncertainty

机译：估计不确定性下的Clar（1）点预测

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摘要

Forecast error is not only caused by the randomness of the data-generating process but also by the uncertainty due to estimatedmodel parameters.We investigate these different sources of forecast error for a popular type of count process, the Poisson first-order integer-valued autoregressive (INAR(1)) process. However, many of our analytical derivations also hold for the more general family of conditional linear AR(1) (CLAR(1)) processes. In addition, results from a simulation study are presented, to verify and complement our asymptotic approximations.

机译：预测错误不仅由数据生成过程的随机性引起的，而且由于估计模型参数而导致的不确定性。我们研究了这些不同的预测源以流行类型的计数进程，泊松一阶整数重估的自回归（INAR（1））过程。然而，我们的许多分析衍生也适用于更多通用条件线性Ar（1）（clar（1））过程。此外，提出了仿真研究的结果，以验证和补充我们的渐近近似。

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来源
《Statistica Neerlandica》 |2020年第4期|489-516|共28页
作者
Simon Nik; Christian H.Weiss;
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作者单位

Department of Mathematics and Statistics Helmut Schmidt University Hamburg Germany;

Department of Mathematics and Statistics Helmut Schmidt University Hamburg Germany;

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原文格式 PDF
正文语种 eng
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关键词
count time series; estimation uncertainty; point forecasting; Poisson INAR(1) model;

机译：计数时间序列;估计不确定性;点预测;泊松Inar（1）模型;

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7. CLAR(1) point forecasting under estimation uncertainty [O] . Simon Nik, Christian H. Weiß 2020

机译：估计不确定性下的Clar（1）点预测

CLAR(1) point forecasting under estimation uncertainty

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