Abstract Details
Activity Number:
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643
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Type:
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Contributed
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Date/Time:
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Thursday, August 13, 2015 : 8:30 AM to 10:20 AM
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Sponsor:
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Business and Economic Statistics Section
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Abstract #315856
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View Presentation
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Title:
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Unbiased Forecast of Autoregressive Process Under LINEX Loss Function
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Author(s):
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Jin-Rong Yang*
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Companies:
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Keywords:
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Autoregressive ;
Unbiased forecast ;
Asymmetric loss function ;
LINEX unbiased forecast
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Abstract:
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Asymmetric loss function is used in a situation where a positive error may be more serious than a negative error of the same magnitude or vice versa. One of the most commonly used asymmetric loss function is the LINEX loss. This work considers the construction of LINEX unbiased forecast for stationary time series models. We derive this predictor for AR(p) process and discuss its properties. Empirical studies of the behavior of this predictor is investigated by using simulation.
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Authors who are presenting talks have a * after their name.
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