- Author
- Szanduła Jacek (Akademia Ekonomiczna we Wrocławiu)
- Title
- Optymalizacja wag w modelu średniej ruchomej ważonej
Weights Optimization in Weighted Moving Average Model - Source
- Prace Naukowe Akademii Ekonomicznej we Wrocławiu. Ekonometria (18), 2007, nr 1151, s. 64-76, rys., bibliogr. 3 poz.
- Issue title
- Zastosowania metod ilościowych
- Keyword
- Modele prognostyczne, Analiza szeregów czasowych
Forecasting models, Time-series analysis - Note
- summ.
- Abstract
- Omówiono sposób optymalizacji wag w modelu średniej ruchomej ważonej.
The paper presents a way to optimize weights in weighted moving average model. The minimum of the ex post forecasts mean-square error was chosen as a criterion of optimization. The author also presents the way of estimating ex ante forecasts errors. They are useful both for evaluating the admissibility of forecasts calculated with the use of estimated models and for calculating forecasts confidence intervals. (original abstract) - Accessibility
- The Main Library of the Cracow University of Economics
The Library of Warsaw School of Economics
The Main Library of Poznań University of Economics and Business - Full text
- Show
- Bibliography
-
- Beale E.M.L., On Minimizing a Convex Function Subject to Linear Inequalities, "Journal of the Royal Statistical Society. Series B" 1955, 17, 173-184.
- Kmenta J., Elements of Econometrics, Second Edition, The University of Michigan Press, 2000.
- Theil H., Zasady ekonometrii, PWN, Warszawa 1979.
- Cited by
- ISSN
- 0324-8445
1507-3866 - Language
- pol
