ESTIMATION OF THE PREDICTION ERROR VARIANCE AND AN R<sup>2</sup>MEASURE BY AUTOREGRESSIVE MODEL FITTING (Q4696570)
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scientific article; zbMATH DE number 220998
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | ESTIMATION OF THE PREDICTION ERROR VARIANCE AND AN R<sup>2</sup>MEASURE BY AUTOREGRESSIVE MODEL FITTING |
scientific article; zbMATH DE number 220998 |
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ESTIMATION OF THE PREDICTION ERROR VARIANCE AND AN R<sup>2</sup>MEASURE BY AUTOREGRESSIVE MODEL FITTING (English)
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29 June 1993
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prediction interval
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model selection
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finite sample behaviour
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stationary process
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\(h\)-step prediction error
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predictability
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autoregressive estimators
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asymptotically equivalent
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asymptotic normal distribution
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bias correction
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simulation study
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