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Convergence Theory of a Numerical Method for Solving / Yuzhi Cai

SIAM Journal on Numerical Analysis, Volume: 40

Swansea University Author: Cai, Yuzhi

Abstract

A convergence theory has been established for a new numericalmethod for solving Chapman-Kolmogorov equation (Cai, 2001a). The theoryhas been applied to many types ofnonlinear time series models in order to obtain \(m\)-step aheadpredictive probability density function, predictive cumulativedistribut...

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Published in: SIAM Journal on Numerical Analysis
Published: 2003
URI: https://cronfa.swan.ac.uk/Record/cronfa15297
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Abstract: A convergence theory has been established for a new numericalmethod for solving Chapman-Kolmogorov equation (Cai, 2001a). The theoryhas been applied to many types ofnonlinear time series models in order to obtain \(m\)-step aheadpredictive probability density function, predictive cumulativedistribution function, predictive mean and predictive variance.
Keywords: convergence theory; numerical procedure; nonlinear autoregressive time series models; forecasting
College: School of Management
End Page: 2351