COMPONENTS OF PREDICTION ERRORS FOR A STATIONARY PROCESS WITH ESTIMATED PARAMETERS

DOI10.1111/j.1467-9892.1983.tb00352.xzbMath0531.62086OpenAlexW2100955071MaRDI QIDQ3313165

W. D. Ray, Stergios B. Fotopoulos

Publication date: 1983

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1983.tb00352.x

zbMATH Keywords

asymptoticsARMA modelslinear time series modelsestimation of prediction error

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20)

Cites Work

• Unnamed Item
• Consistent autoregressive spectral estimates
• Linear prediction by autoregressive model fitting in the time domain
• On an explicit formula in linear least squares prediction
• Forecasting with Misspecified Models
• Properties of Predictors for Autoregressive Time Series
• Predictions of multivariate autoregressive-moving average models
• The Asymptotic Mean Squared Error of Multistep Prediction from the Regression Model with Autoregressive Errors