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| Author: | Stoica, P. Nehorai, A. |
| Title: | On multistep prediction error methods for time series models. |
| Journal: | Journal of Forecasting
1989 : OCT-DEC, VOL. 8:4, p. 357-368 |
| Index terms: | TIME SERIES MODELS PREDICTION THEORY |
| Language: | eng |
| Abstract: | Multistep prediction error methods for linear time series models are considered from both a theoretical and a practical standpoint. The emphasis is on autoregressive moving-average (ARMA) models for which a multistep prediction error estimation method (PEM) is developed. The results of a Monte Carlo simulation study aimed at establishing the possible merits of the multistep PEM is presented. More simulation work and theoretical research are needed to fully understand the properties of the multistep PEMs. In particular, the use of multistep PEMs on real-life data for determining long-range prediction models is of great interest. The difference between the prediction performance of the one-step and that of the multistep PEM models increases with the time span. |
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