A Note on Mean‐squared Prediction Errors of the Least Squares Predictors in Random Walk Models

DOI10.1111/1467-9892.00249zbMath0984.62071OpenAlexW2146998068MaRDI QIDQ2784956

Ching-Kang Ing

Publication date: 24 April 2002

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9892.00249

zbMATH Keywords

asymptotic expansionsleast squares estimatormean squared prediction erroraccumulated prediction error

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Asymptotic distribution theory in statistics (62E20)

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