Advances in antithetic time series analysis: separating fact from artifact

Dennis Ridley ()

Operations Research and Decisions, 2016, vol. 26, issue 3, 57-68

Abstract: The problem of biased time series mathematical model parameter estimates is well known to be insurmountable. When used to predict future values by extrapolation, even a de minimis bias will eventually grow into a large bias, with misleading results. This paper elucidates how combining antithetic time series’ solves this baffling problem of bias in the fitted and forecast values by dynamic bias cancellation. Instead of growing to infinity, the average error can converge to a constant.

Keywords: combining; antithetic; time series; bias correction; serial correlation (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:wut:journl:v:3:y:2016:p:57-68:id:1230

DOI: 10.5277/ord160304

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