Polynomial Projecting Properties of Multi-Term Predictors/Controllers in Non-Stationary Time Series
非平稳时间序列中多项预测器与控制器的多项式投影性质
Summary Box and Jenkins (1962, 1963) introduce a practical predictor for handling non-stationary types of time series and they show it to be optimal for a particular class of stochastic processes. As a consequence the predictor can be shown to follow stochastic as well as deterministic polynomial trends in the series. The present paper sets out to evaluate the bias term in the expression for the error when applying this predictor, and shows how the bias can be reduced…