Parameter Optimization for Combining Lognormal Antithetic Time Series

  • Dennis Ridley SBI, Florida A&M University and Department of Scientific Computing, Florida State University
  • Pierre Ngnepieba Department of Mathematics, Florida A&M University
  • Dennis Duke Department of Physics, Florida State University

Abstract

Time series models of serially correlated variables yield biased ï¬tted values and forecasts. Antithetic time series can be created so as to be negatively correlated with the original time series. The original and antithetic time series can be combined so as to eliminate said bias. A system of equations
that deï¬ne the optimal combining parameters is derived.

Author Biographies

Dennis Ridley, SBI, Florida A&M University and Department of Scientific Computing, Florida State University
Professsor
Pierre Ngnepieba, Department of Mathematics, Florida A&M University
Associate Professor
Dennis Duke, Department of Physics, Florida State University
Professor
Published
2013-04-24
How to Cite
Ridley, D., Ngnepieba, P., & Duke, D. (2013). Parameter Optimization for Combining Lognormal Antithetic Time Series. European Journal of Mathematical Sciences, 2(2), 235-245. Retrieved from http://ejmathsci.org/index.php/ejmathsci/article/view/72
Section
Articles