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math.ST2009★ 6 cited
Toward optimal multistep forecasts in non-stationary autoregressions
Ching-Kang Ing, Jin-Lung Lin, Shu-Hui Yu
This paper investigates multistep prediction errors for non-stationary autoregressive processes with both model order and true parameters unknown. We give asymptotic expressions fo…
math.ST2007★ 3 cited
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…