Publicación: BACKCASTING AND FORECASTING TIME SERIES USING DETRENDED CROSS-CORRELATION ANALYSIS
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2020
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PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
Resumen
IN THIS PAPER WE ADDRESSED THE PROBLEM OF BACKCASTING AND FORECASTING NON-STATIONARY TIME SERIES. GIVEN THAT TRADITIONAL BACKCASTING ARE BASED ON THE CLASSICAL CROSS-CORRELATION FUNCTION ASSUMING TWO STATIONARY TIME SERIES, ASSUMPTIONS BASED ON TWO NON-STATIONARY TIME SERIES NEED A NEW APPROACH. THUS, DETRENDED CROSS-CORRELATION ANALYSIS (DCCA) PROVIDES A FANNED ESTIMATOR FOR A CORRELATION BETWEEN TWO NON-STATIONARY TIME SERIES, PROVIDING THEN THE STATIONARY TIME SERIES. THEREFORE, WE DEVELOPED A BACKCASTER ESTIMATOR AND A PREDICTOR FOR THE OBTAINED STATIONARY TIME SERIES. THE PRACTICAL EXAMPLE OF A CHILEAN CEMENT PRODUCTION TIME SERIES (1991?2015) ILLUSTRATES OUR RESULTS.
