Properties of Predictors in Misspecified Autoregressive Time Series Models
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Publication:3716155
DOI10.2307/2288558zbMath0588.62171OpenAlexW4240820620MaRDI QIDQ3716155
Publication date: 1985
Full work available at URL: https://doi.org/10.2307/2288558
predictionmean squared errortime domainbiasautoregressive modelleast squares estimatormisspecificationautoregressive moving average modeldependencenonnormalitynon-Gaussian processstationary linear time series models
Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
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