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Autoregressive Prediction with Rolling Mechanism for Time Series Forecasting with Small Sample Size
المؤلفون المشاركون
Fu, Huimin
Wang, Zhihua
Zhang, Yongbo
المصدر
Mathematical Problems in Engineering
العدد
المجلد 2014، العدد 2014 (31 ديسمبر/كانون الأول 2014)، ص ص. 1-9، 9ص.
الناشر
Hindawi Publishing Corporation
تاريخ النشر
2014-06-09
دولة النشر
مصر
عدد الصفحات
9
التخصصات الرئيسية
الملخص EN
Reasonable prediction makes significant practical sense to stochastic and unstable time series analysis with small or limited sample size.
Motivated by the rolling idea in grey theory and the practical relevance of very short-term forecasting or 1-step-ahead prediction, a novel autoregressive (AR) prediction approach with rolling mechanism is proposed.
In the modeling procedure, a new developed AR equation, which can be used to model nonstationary time series, is constructed in each prediction step.
Meanwhile, the data window, for the next step ahead forecasting, rolls on by adding the most recent derived prediction result while deleting the first value of the former used sample data set.
This rolling mechanism is an efficient technique for its advantages of improved forecasting accuracy, applicability in the case of limited and unstable data situations, and requirement of little computational effort.
The general performance, influence of sample size, nonlinearity dynamic mechanism, and significance of the observed trends, as well as innovation variance, are illustrated and verified with Monte Carlo simulations.
The proposed methodology is then applied to several practical data sets, including multiple building settlement sequences and two economic series.
نمط استشهاد جمعية علماء النفس الأمريكية (APA)
Wang, Zhihua& Zhang, Yongbo& Fu, Huimin. 2014. Autoregressive Prediction with Rolling Mechanism for Time Series Forecasting with Small Sample Size. Mathematical Problems in Engineering،Vol. 2014, no. 2014, pp.1-9.
https://search.emarefa.net/detail/BIM-481741
نمط استشهاد الجمعية الأمريكية للغات الحديثة (MLA)
Wang, Zhihua…[et al.]. Autoregressive Prediction with Rolling Mechanism for Time Series Forecasting with Small Sample Size. Mathematical Problems in Engineering No. 2014 (2014), pp.1-9.
https://search.emarefa.net/detail/BIM-481741
نمط استشهاد الجمعية الطبية الأمريكية (AMA)
Wang, Zhihua& Zhang, Yongbo& Fu, Huimin. Autoregressive Prediction with Rolling Mechanism for Time Series Forecasting with Small Sample Size. Mathematical Problems in Engineering. 2014. Vol. 2014, no. 2014, pp.1-9.
https://search.emarefa.net/detail/BIM-481741
نوع البيانات
مقالات
لغة النص
الإنجليزية
الملاحظات
Includes bibliographical references
رقم السجل
BIM-481741
قاعدة معامل التأثير والاستشهادات المرجعية العربي "ارسيف Arcif"
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