Convert Autoregressive Process from Direct to Continuous Time with Application
AL-Rafidain Journal of Computer Sciences and Mathematics,
2010, Volume 7, Issue 1, Pages 29-43
AbstractIn this research, we discuss the converting problem of auto-regression models at discrete time into auto-regression models at continuous time, basing on the main idea of the scientist "Priestley" who discovered how to convert autoregression models from first and second order. He mentioned that there were difficulties in the process of conversion to reach the general formula (that is to convert regression model from order p).
We then have got the conversion of the general formula AR(p) of converting it from discrete time to continuous time. Practically, we have built an autoregressive model of order one for the time-series of number of persons who were afflicted with Hepatitis -B- after we have taken the first difference to the series.
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