SOME PREDICTIONS OF THE FIRST ORDER EXPONENTIAL TIME SERIES

Time series with non-Gaussian marginal distribution are of great interest nowdays. The time series with exponential marginal distribution are considered in this paper. The method of linear prediction is applicated to the exponential moving average EMA(1) and the exponential autoregressive EAR(1) time series. Some difficulties of inverting the matrix of the system of linear equations for solving the unknown coefficients of the prediction are presented. U novije vreme veliko interesovanje pobuduju negausovske vremenske serije. U ovom radu se posmatraju vremenske serije sa eksponencijalnom marginalnom raspodelom. Primenjuje se metod linearnog prognoziranja na eksponencijalne pokretne sredine EMA(1) i eksponencijalne autoregresivne vremenske serije EAR(1). Posebno je istaknut problem inverzije matrice sistema linerarnih jednačina za odredivanje nepoznatih koeficijenata prognoze.