70 citations
5 papers
Accumulated prediction errors, information criteria and optimal forecasting for autoregressive time series
Ching-Kang Ing
The predictive capability of a modification of Rissanen's accumulated prediction error (APE) criterion, APE, is investigated in infinite-order autoregressive (AR())…
Statistical modeling for experiments with sliding levels
Shao-Wei Cheng, C. F. J. Wu, Longcheen Huwang
Design of experiment with related factors can be implemented by using the technique of sliding levels. Taguchi (1987) proposed an analysis strategy by re-centering and re-scaling t…
Modeling macroeconomic time series via heavy tailed distributions
J. A. D. Aston
It has been shown that some macroeconomic time series, especially those where outliers could be present, can be well modelled using heavy tailed distributions for the noise compone…
Some results on the Gittins index for a normal reward process
Yi-Ching Yao
We consider the Gittins index for a normal distribution with unknown mean and known variance where has a normal prior. In addition to presenting some monotonicity propertie…
Forecasting unstable processes
Jin-Lung Lin, Ching-Zong Wei
Previous analysis on forecasting theory either assume knowing the true parameters or assume the stationarity of the series. Not much are known on the forecasting theory for nonstat…