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Estimating the Variance of the K-Step Ahead Predictor for Time-Series
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, The Institute of Technology.
1999 (English)Report (Other academic)
Abstract [en]

This paper considers the problem of estimating the variance of a linear k-step ahead predictor for time series. (The extension to systems including deterministic inputs is straight forward.) We compare the theoretical results with empirically calculated variance on real data, and discuss the quality of the achieved variance estimate.

Place, publisher, year, edition, pages
Linköping: Linköping University Electronic Press, 1999. , 7 p.
LiTH-ISY-R, ISSN 1400-3902 ; 2130
Keyword [en]
Prediction, Time-series
National Category
Control Engineering
URN: urn:nbn:se:liu:diva-55712ISRN: LiTH-ISY-R-2130OAI: diva2:316485
Available from: 2010-04-30 Created: 2010-04-30 Last updated: 2014-10-03Bibliographically approved

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Automatic ControlThe Institute of Technology
Control Engineering

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ReferencesLink to record
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