Advances in antithetic time series analysis: separating fact from artifact
Journal Title: Operations Research and Decisions - Year 2016, Vol 26, Issue 3
Abstract
The problem of biased time series mathematical model parameter estimates is well known to be insurmountable. When used to predict future values by extrapolation, even a de minimis bias will even-tually grow into a large bias, with misleading results. This paper elucidates how combining antithetic time series’ solves this baffling problem of bias in the fitted and forecast values by dynamic bias can-cellation. Instead of growing to infinity, the average error can converge to a constant.
Authors and Affiliations
Dennis RIDLEY
Keywords
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