Parameter Optimization for Combining Lognormal Antithetic Time Series
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.
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 https://ejmathsci.org/index.php/ejmathsci/article/view/72
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