Differential geometrical structures related to forecasting error variance ratios |
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Authors: | Daming Xu |
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Institution: | (1) Department of Mathematics, University of Oregon, 97403-1222 Eugene, OR, U.S.A. |
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Abstract: | Differential geometrical structures (Riemannian metrics, pairs of dual affine connections, divergences and yokes) related to multi-step forecasting error variance ratios are introduced to a manifold of stochastic linear systems. They are generalized to nonstationary cases. The problem of approximating a given time series by a specific model is discussed. As examples, we use the established scheme to discuss the AR (1) approximations and the exponential smoothing of ARMA series for multi-step forecasting purpose. In the process, some interesting results about spectral density functions are derived and applied. |
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Keywords: | Riemannian metric affine connection divergence spectral density forecasting error variance ratio yoke |
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