Please use this identifier to cite or link to this item:
https://ptsldigital.ukm.my/jspui/handle/123456789/578912| Title: | A method for performing short time series prediction |
| Authors: | Pooi A. H. |
| Keywords: | Multivariate power-normal distribution Prediction interval Coverage probability |
| Issue Date: | Apr-2017 |
| Description: | This paper offers a technique to construct a prediction interval for the future value of the last variable in the vector r of m variables when the number of observed values of r is small. Denoting r(t) as the time-t value of r, we model the time-(t+1) value of the m-th variable to be dependent on the present and l-1 previous values r(t), r(t-1), …, r(t-l+1) via a conditional distribution which is derived from an (ml+1)- dimensional power-normal distribution. The 100(? / 2)% and 100(1?? / 2)% points of the conditional distribution may then be used to form a prediction interval for the future value of the m-th variable. A method is introduced to estimate the above (ml+1)-dimensional power-normal distribution such that the coverage probability of the resulting prediction interval is nearer to the target value 1- ? . |
| News Source: | Pertanika Journals |
| ISSN: | 0128-7680 |
| Volume: | 25 |
| Pages: | 587-592 |
| Publisher: | Universiti Putra Malaysia Press |
| Appears in Collections: | Journal Content Pages/ Kandungan Halaman Jurnal |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| ukmvital_116322+Source01+Source010.PDF | 242.19 kB | Adobe PDF |  View/Open |
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.