✦ LIBER ✦

Time series multistep-ahead predictability estimation and ranking

✍ Scribed by X. Hong; S. A. Billings

Publisher: John Wiley and Sons
Year: 1999
Tongue: English
Weight: 202 KB
Volume: 18
Category: Article
ISSN: 0277-6693
DOI: 10.1002/(sici)1099-131x(199903)18:2<139::aid-for710>3.0.co;2-w

No coin nor oath required. For personal study only.

✦ Synopsis

A predictability index was de®ned as the ratio of the variance of the optimal prediction to the variance of the original time series by Granger and Anderson (1976) andBhansali (1989). A new simpli®ed algorithm for estimating the predictability index is introduced and the new estimator is shown to be a simple and eective tool in applications of predictability ranking and as an aid in the preliminary analysis of time series. The relationship between the predictability index and the position of the poles and lag p of a time series which can be modelled as an AR( p) model are also investigated. The eectiveness of the algorithm is demonstrated using numerical examples including an application to stock prices.

📜 SIMILAR VOLUMES

Trend estimation of financial time serie

Trend estimation of financial time series

✍ Víctor M. Guerrero; Adriana Galicia-Vázquez 📂 Article 📅 2009 🏛 John Wiley and Sons 🌐 English ⚖ 245 KB 👁 1 views

## Abstract We propose to decompose a financial time series into trend plus noise by means of the exponential smoothing filter. This filter produces statistically efficient estimates of the trend that can be calculated by a straightforward application of the Kalman filter. It can also be interprete

Nonlinear analysis and prediction of riv

Nonlinear analysis and prediction of river flow time series

✍ S. Bordignon; F. Lisi 📂 Article 📅 2000 🏛 John Wiley and Sons 🌐 English ⚖ 140 KB 👁 1 views

Selection and estimation of component mo

Selection and estimation of component models for seasonal time series

✍ John Haywood; Granville Tunnicliffe Wilson 📂 Article 📅 2000 🏛 John Wiley and Sons 🌐 English ⚖ 285 KB 👁 1 views

Predictive models for ground ozone and n

Predictive models for ground ozone and nitrogen dioxide time series

✍ Monique Graf-Jaccottet; Marc-Henri Jaunin 📂 Article 📅 1998 🏛 John Wiley and Sons 🌐 English ⚖ 241 KB

Predictive models are built for the mean ground concentration of ozone and nitrogen dioxide on data consisting of 5 years of daily averages. We ®nd the smallest averaging time over which a model with a deterministic trend and an autoregressive error distribution passes a number of statistical tests.

A measure of time series' predictability

A measure of time series' predictability using genetic programming applied to stock returns

✍ M. A. Kaboudan 📂 Article 📅 1999 🏛 John Wiley and Sons 🌐 English ⚖ 137 KB 👁 1 views

Based on the standard genetic programming (GP) paradigm, we introduce a new probability measure of time series' predictability. It is computed as a ratio of two ®tness values (SSE) from GP runs. One value belongs to a subject series, while the other belongs to the same series after it is randomly sh

Small sample estimation of the variance

Small sample estimation of the variance of time-averages in climatic time series

✍ Şen, Zekai 📂 Article 📅 1998 🏛 John Wiley and Sons 🌐 English ⚖ 94 KB 👁 1 views

Estimations of the time-average variance for meteorological time series play a central role in climatic studies. They depend on the finite sample length and the correlation structure of the climatic time series. A general equation for these estimations is derived theoretically for autoregressive int