Robustness of Forecasting for Autoregressive Time Series with Bilinear Distortions
The paper is devoted to the investigation of bilinear stochastic time series model BL(p, 0, 1, 1). The linear autoregressive forecasting statistic is considered under the mean-square risk criterion; its robustness under bilinear distortions is evaluated.
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Austrian Statistical Society
2016-04-01
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| Series: | Austrian Journal of Statistics |
| Online Access: | http://www.ajs.or.at/index.php/ajs/article/view/287 |