EXACT LEAST SQUARES MULTI‐STEP PREDICTION FROM NONLINEAR AUTOREGRESSIVE MODELS

John. Pemberton

Journal of Time Series Analysis, 1987, vol. 8, issue 4, 443-448

Abstract: Abstract. We obtain an integral equation recurrence relation for the optimal least squares predictor of a nonlinear autoregressive time series model. Numerical solutions are given for a first order threshold model up to three steps ahead.

Date: 1987
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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:8:y:1987:i:4:p:443-448

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