1. Long-Term Prediction Intervals of Time Series.
- Author
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Zhou Zhou, Zhiwei Xu, and Wei Biao Wu
- Subjects
- *
WIRELESS communications , *TIME series analysis , *INFORMATION technology , *INFORMATION theory , *COMMUNICATION - Abstract
We consider the problem of predicting aggregates or sums of future values of a process based on its past values. In contrast with the conventional prediction problem in which one predicts a future value given past values of the process, in our setting the number of aggregates can go to infinity with respect to the number of available observations. Consistency and Bahadur representations of the prediction estimators are established. A simulation study is carried out to assess the performance of different prediction estimators. [ABSTRACT FROM AUTHOR]
- Published
- 2010
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