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A Monte Carlo Comparison of the Regression Method and the Spectral Methods of Prediction.
- Source :
-
Journal of the American Statistical Association . Sep73, Vol. 68 Issue 343, p621. 5p. - Publication Year :
- 1973
-
Abstract
- We consider the question of estimating the linear, least-squares predictor of the future values of a real-valued, discrete, purely nondeterministic, stationary time series from its known past. A method of estimating the prediction coefficients from the usual 'windowed' estimates of spectral density function is put forward and a Monte Carlo comparison of this method with the more usual regression method of finding the best fitting autoregressive process by recursively solving the Yule-Walker equations is carried out. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 01621459
- Volume :
- 68
- Issue :
- 343
- Database :
- Academic Search Index
- Journal :
- Journal of the American Statistical Association
- Publication Type :
- Academic Journal
- Accession number :
- 4607065
- Full Text :
- https://doi.org/10.1080/01621459.1973.10481395