ON RISSANEN'S LOWER BOUND ON THE ACCUMULATED MEAN-SQUARE PREDICTION ERROR

DOI10.1111/J.1467-9892.1987.TB00442.XzbMath0631.62100OpenAlexW1988371227MaRDI QIDQ3768224

Paul V. Kabaila

Publication date: 1987

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1987.tb00442.x

zbMATH Keywords

lower boundautoregressive processesCramér-Rao boundaccumulated mean square prediction errorFisher's bound on asymptotic variancesGaussian AR processnonaccumulated prediction errors

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Estimation and detection in stochastic control theory (93E10) Prediction theory (aspects of stochastic processes) (60G25)

Cites Work

• The estimation of the order of an ARMA process
• Universal coding, information, prediction, and estimation
• Properties of Predictors for Autoregressive Time Series
• Martingale Central Limit Theorems
• On Fisher's Bound for Asymptotic Variances
• Linear Statistical Inference and its Applications

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