Cumulant models of linear prediction of the processes of autoregression of the sliding mean
DOI:
https://doi.org/10.3103/S0735272705080091Abstract
A new type of difference equations is suggested for generalized cumulant models of autoregression of the sliding mean, when the model parameters are calculated by the cumulant functions. Particularly, equations are derived for calculating the parameters of cumulant models of linear prediction based on cumulant functions of the second, third, and fourth order. Several examples are given illustrating generation of the cumulant models of autoregression of the sliding mean of the third and fourth rank.References
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