RecordNumber
3965
Author
Saber, Mohammad Mahdi
Crop_Body
Mohammad Mahdi Saber
Title of Article
Best Linear Predictors in a Stationary Second Order Autoregressive process by means of near and far observations
Title Of Journal
مجله پژوهشهاي آماري ايران
PublishInfo
تهران :پژوهشكده آمار ايران
Publication Year
2019
Volum
16
Issue Number
2
Page
409-446
Keywords
AR(2) model , prediction performance , Pitman’s measure of closeness
Abstract
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