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Activity Number: 643
Type: Contributed
Date/Time: Thursday, August 13, 2015 : 8:30 AM to 10:20 AM
Sponsor: Business and Economic Statistics Section
Abstract #315856 View Presentation
Title: Unbiased Forecast of Autoregressive Process Under LINEX Loss Function
Author(s): Jin-Rong Yang*
Companies:
Keywords: Autoregressive ; Unbiased forecast ; Asymmetric loss function ; LINEX unbiased forecast
Abstract:

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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