Multi-step forecasting for long-memory processes

Article Abstract:

A simulation study was conducted to evaluate and compare the precision of forecasting methods for long-memory processes in small sample sizes. Differences between adaptive ARMA(1,1) L-step forecasts, where the parameters are estimated by minimizing the sum of squares of L-step forecast errors, and forecasts derived by utilizing long-memory models were examined. Findings demonstrated the importance and practicality of long-memory models for multi-step forecasting.

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Filters for short non-stationary sequences

Article Abstract:

Information regarding implementation of filters for bidirectional frequency selective filters in cases where data sequences are short and non stationary is given. A method for dealing with the start up problem is given, being based on its computational efficient.

Research & Development, Scientific Research and Development Services, Research, High technology industry, Research institutes, Methodology, Research methods

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A Re-examination of the Excess Smoothness Puzzle when Consumers Estimate the Income Process

Article Abstract:

Income analysis information regarding the excess smoothness puzzle when consumers estimate the income process is given. Using a simple version of the permanent income hypothesis.

Family Income, Analysis, Income

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