Time Series Multistep Ahead Predictability Estimation and Ranking
Hong, X. and Billings, S.A.
(1997)
Time Series Multistep Ahead Predictability Estimation and Ranking.
Research Report.
ACSE Research Report 687
.
Department of Automatic Control and Systems Engineering
Abstract
A predictability index was defined as the ratio of the variance of the optimal prediction to the variance of the original time series by Granger and Anderson (1976) and Bhansali (1989). A new simplified algorithm for estimating the predictability index is introduced and the new estimator is shown to be a simple and effective tool in applications of predictability ranking and as an aid in the preliminary analysis of time series. The relationship between the predictability index and the position of the poles and lag p of a time series which can be modelled as an AR (p) model are also investigated. The effectiveness of the algorithm is demonstrated using numerical examples including an application to stock prices.
Metadata
Item Type:
Monograph
Authors/Creators:
Hong, X.
Billings, S.A.
Copyright, Publisher and Additional Information:
The Department of Automatic Control and Systems Engineering research reports offer a forum for the research output of the academic staff and research students of the Department at the University of Sheffield. Papers are reviewed for quality and presentation by a departmental editor. However, the contents and opinions expressed remain the responsibility of the authors. Some papers in the series may have been subsequently published elsewhere and you are advised to cite the later published version in these instances.
Keywords:
Time series; Predictability, Autocorrelation; Moving Average Model; Autoregressive Model
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