Predictors for the first-order autoregressive process

DOI10.1016/0304-4076(80)90012-3zbMath0521.62078OpenAlexW2007463644MaRDI QIDQ1055137

Wayne A. Fuller, David P. Hasza

Publication date: 1980

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(80)90012-3

zbMATH Keywords

unbiasedfirst-order autoregressive processleast squares predictorsymmetric error distributions

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Monte Carlo methods (65C05) Probabilistic methods, stochastic differential equations (65C99)

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