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- Title
On the Prediction of -Stable Time Series.
- Authors
Mohammadi, Mohammad; Mohammadpour, Adel
- Abstract
This paper addresses the point prediction of -stable time series. Our key idea is to define a new Hilbert space that contains -stable processes. Then, we apply the advantage of Hilbert space theory for finding the best linear prediction. We show how to use the presented predictor practically for -stable linear processes. The implementation of the presented method is easier than the implementation of the minimum dispersion method. We reveal the appropriateness of the presented method through an empirical study on predicting the natural logarithms of the volumes of SP500 market.
- Subjects
TIME series analysis; MATHEMATICAL statistics; HILBERT space; HYPERSPACE; PROBABILITY theory
- Publication
Fluctuation & Noise Letters, 2016, Vol 15, Issue 4, p-1
- ISSN
0219-4775
- Publication type
Article
- DOI
10.1142/S0219477516500218