Fitting State-space Model for Long-term Prediction of the Log-likelihood of Nonstationary Time Series Models

10/12/2022

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by   Genshiro Kitagawa, et al.

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The goodness of the long-term prediction in the state-space model was evaluated using the squared long-term prediction error. In order to estimate the model parameters suitable for long-term prediction, we devised a modified log-likelihood corresponding to the long-term prediction error variance. Trend models and seasonally adjusted models with and without AR component are examined as examples.