Title :
Prediction of autoregressive lognormal processes
Author_Institution :
Polytechnic Institute of Bucharest, Bucharest, Romania
fDate :
4/1/1980 12:00:00 AM
Abstract :
In this note, the one-step prediction of autoregressive (AR) lognormal processes is considered. Minimum-risk solutions of this problem are briefly discussed and then numerically compared using simulated data.
Keywords :
Autoregressive processes; Log-normal distributions; Prediction methods; Bayesian methods; Covariance matrix; Frequency; Gaussian distribution; Linear regression; Numerical simulation; Polynomials; Predictive models; Random variables;
Journal_Title :
Automatic Control, IEEE Transactions on
DOI :
10.1109/TAC.1980.1102297
