On Prediction of Time Series on the Basis of Rank Correlation Coefficients

• Authors: Janusz L. Wywiał
• Languages of publication: EN

Abstracts

EN

In the paper the problem of prediction of a time series is considered. Time series observations can be measured on order scale. On the basis of observed ranks of values of the variables observed in the past periods a forecast of the rank of the observation in the future period is determined. The proposed method results from the derivation of the distribution of the well known Kendall's rank coefficient. The paper was inspired by a lecture of Jean H.P. Paelinck who gave it at the University of Economics in Katowice when he received the title of doctor honoris causa of the University in 1987.

Keywords

EN

Mathematical statistics; Statistical methods; Time-series

PL

Metody statystyczne; Statystyka matematyczna; Szeregi czasowe

• Publisher: Uniwersytet Ekonomiczny w Katowicach
• Journal: Studia Ekonomiczne
• Year: 2014
• Volume: 189
• Pages: 19-26

Contributors

author

Janusz L. Wywiał

References

• Höffding (1947), On the Distribution of the Rank Correlation Coefficient τ When the Variates Are Not Independent, "Biometrika", Vol. 34, No. 3/4, pp. 183-196.
• Kendall M.G. (1958), Rank Correlation Methods, C. Griffin and Company, London.

Identifiers

ISSN

2083-8611