Timeline for Monte Carlo rolling forecast of time series - details needed
Current License: CC BY-SA 3.0
6 events
| when toggle format | what | by | license | comment | |
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| Jan 19, 2016 at 19:53 | comment | added | user101051 | Thank you very much for your patience and clear explanation Xi'an! | |
| Jan 19, 2016 at 9:30 | history | edited | Xi'an | CC BY-SA 3.0 |
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| Jan 19, 2016 at 9:29 | comment | added | Xi'an | You have to solve the integral to understand why $\mathbb{E}[\exp\{z_t\}] = \exp\{\mu+\sigma^2/2\}$. And following your notations, $d+\sigma R\sim\mathcal{N}(d,\sigma^2)$. | |
| Jan 18, 2016 at 21:51 | history | edited | Xi'an | CC BY-SA 3.0 |
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| Jan 18, 2016 at 15:46 | comment | added | user101051 | Thanks so much for this explanation!! Can I ask, why is $\mathbb{E}[\exp\{z_t\}] = \exp\{\mu+\sigma^2/2\}$ and not $\mathbb{E}[\exp\{z_t\}] = \exp\{\mu\}$? Similarly, I'm unsure where the $\sigma R$ term on the lhs goes on the next line? Is it absorbed into the $+\sigma^2/2$ term? Thank you again! | |
| Jan 18, 2016 at 13:31 | history | answered | Xi'an | CC BY-SA 3.0 |