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Conference Paper: Recursive estimation and forecasting of non-stationary time series

TitleRecursive estimation and forecasting of non-stationary time series
Authors
Issue Date1986
Citation
Institution of Electrical Engineers. Colloquium, 1986 v. 1986 n. 119, p. 1-4 How to Cite?
AbstractThis paper considers a unified approval to the problem of forecasting time series on the basis of linear stochastic dynamic models for the historical time series data. This approach is an alternative to that presented by G. E. P. Box and G. M. Jenkins (1970). The authors' approach utilises similar time series models to those employed by G. E. P. Box and G. M. Jenkins, but sets these models within a recursive parameter and state estimation framework for the purposes of forecasting.
Persistent Identifierhttp://hdl.handle.net/10722/159097
ISSN
2007 SCImago Journal Rankings: 0.100

 

DC FieldValueLanguage
dc.contributor.authorYoung, Peteren_US
dc.contributor.authorNg, Choen_US
dc.date.accessioned2012-08-08T09:08:00Z-
dc.date.available2012-08-08T09:08:00Z-
dc.date.issued1986en_US
dc.identifier.citationInstitution of Electrical Engineers. Colloquium, 1986 v. 1986 n. 119, p. 1-4en_US
dc.identifier.issn0963-3308en_US
dc.identifier.urihttp://hdl.handle.net/10722/159097-
dc.description.abstractThis paper considers a unified approval to the problem of forecasting time series on the basis of linear stochastic dynamic models for the historical time series data. This approach is an alternative to that presented by G. E. P. Box and G. M. Jenkins (1970). The authors' approach utilises similar time series models to those employed by G. E. P. Box and G. M. Jenkins, but sets these models within a recursive parameter and state estimation framework for the purposes of forecasting.en_US
dc.languageengen_US
dc.relation.ispartofInstitution of Electrical Engineers Colloquiumen_US
dc.titleRecursive estimation and forecasting of non-stationary time seriesen_US
dc.typeConference_Paperen_US
dc.identifier.emailNg, Cho:cnng@hkucc.hku.hken_US
dc.identifier.authorityNg, Cho=rp00606en_US
dc.description.naturelink_to_subscribed_fulltexten_US
dc.identifier.scopuseid_2-s2.0-0022933856en_US
dc.identifier.volume1986-
dc.identifier.issue119en_US
dc.identifier.spage1en_US
dc.identifier.epage4en_US
dc.publisher.placeUnited Kingdomen_US
dc.identifier.scopusauthoridYoung, Peter=7402038199en_US
dc.identifier.scopusauthoridNg, Cho=7401705590en_US
dc.customcontrol.immutablesml 160215 - amend-

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