非等间距相关系数AR(p)序列预测方法
Prediction Method for Correlation Coefficient AR(p) Series with Unequally Spaced Data
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摘要: 针对非等间距时间序列预测中存在误差较大的问题,本文建立了非等间距相关系数AR(p)序列预测方法,详细讨论了非等间距相关系数AR(1)序列和AR(2)序列的预测公式和误差估计。大量计算表明,本文方法与通过插值将非等间距序列变换为等间距序列进行预测的传统方法相比,具有更高的预测精度。Abstract: A new prediction method for correlation coefficient stationary series with unequally spaced data is established. The prediction formulas and error estimations for the correlation coefficient AR(1) and AR(2) series are discussed in detail. The traditional interpolation method, which transfers the unequally spaced data to equally spaced data, may cause a great error in prediction. The results of calculations show that the precision of present method is higher than the traditional interpolation method.
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