Journal article 1161 views
Convergence Theory of a Numerical Method for Solving
Yuzhi Cai 
SIAM Journal on Numerical Analysis, Volume: 40
Swansea University Author:
Yuzhi Cai
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...
| Published in: | SIAM Journal on Numerical Analysis |
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| Published: |
2003
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| 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. |
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| Keywords: |
convergence theory; numerical procedure; nonlinear autoregressive time series models; forecasting |
| College: |
Faculty of Humanities and Social Sciences |
| End Page: |
2351 |