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Forecasting based on time series with correlated errors by information preserving filter Demand forecasting from information theory

 

作者: HIROSHI OHTA,   HIROSHI NODA,   SHIGEO KASE,  

 

期刊: International Journal of Systems Science  （Taylor Available online 1976）
卷期: Volume 7, issue 7  

页码: 779-790

 

ISSN:0020-7721

 

年代: 1976

 

DOI:10.1080/00207727608941964

 

出版商: Taylor & Francis Group

 

数据来源: Taylor

 

摘要:

An optimal forecasting technique has been developed by us from the viewpoint of mutual information. Generalization of this process is considered for the time series with correlated errors. The recommended technique is also compared with the prevailing method based on the Kalman filter in the optimality. The results indicate that the former may improve the latter in the effectiveness of forecasting.

 

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