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A forecasting procedure for nonlinear autoregressive time series models

✍ Scribed by Yuzhi Cai

Publisher
John Wiley and Sons
Year
2005
Tongue
English
Weight
156 KB
Volume
24
Category
Article
ISSN
0277-6693

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✦ Synopsis

Abstract

Forecasting for nonlinear time series is an important topic in time series analysis. Existing numerical algorithms for multi‐step‐ahead forecasting ignore accuracy checking, alternative Monte Carlo methods are also computationally very demanding and their accuracy is difficult to control too. In this paper a numerical forecasting procedure for nonlinear autoregressive time series models is proposed. The forecasting procedure can be used to obtain approximate m‐step‐ahead predictive probability density functions, predictive distribution functions, predictive mean and variance, etc. for a range of nonlinear autoregressive time series models. Examples in the paper show that the forecasting procedure works very well both in terms of the accuracy of the results and in the ability to deal with different nonlinear autoregressive time series models. Copyright © 2005 John Wiley & Sons, Ltd.

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