Effects of not Knowing the Order of an Autoregressive Process on the Mean Squared Error of Prediction-1

DOI10.2307/2287516zbMath0472.62093OpenAlexW4213017277MaRDI QIDQ3925750

Publication date: 1981

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/2287516

zbMATH Keywords

time series time domain bias linear least squares prediction Yule- Walker equations estimating autoregressive coefficients misspecification error

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05)

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