EXACT LEAST SQUARES MULTI‐STEP PREDICTION FROM NONLINEAR AUTOREGRESSIVE MODELS
- 1 July 1987
- journal article
- Published by Wiley in Journal of Time Series Analysis
- Vol. 8 (4) , 443-448
- https://doi.org/10.1111/j.1467-9892.1987.tb00007.x
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.Keywords
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