The covariance structure of sequential forecasts obtained by regression analysis

DOI10.1016/0378-3758(81)90022-7zbMath0479.62070OpenAlexW1983964778MaRDI QIDQ1162093

Itzhak Venezia

Publication date: 1981

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0378-3758(81)90022-7

zbMATH Keywords

regression analysistime seriesrecursive least squareslead timesmaximum likelihood approachfirst-order approximationsforecast error variances

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric inference (62G99)

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Cites Work

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