Prediction error in a linear model with estimated parameters

DOI10.1093/biomet/69.2.453zbMath0492.62081OpenAlexW1994242199MaRDI QIDQ3954699

Yasuyuki Toyooka

Publication date: 1982

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/biomet/69.2.453

zbMATH Keywords

linear modelmoving average processBLUEregressiongeneralized least squares estimatororder of consistencyexpansion of prediction mean squared error

Mathematics Subject Classification ID

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

Related Items (8)

A characterization of spherical distributions ⋮ Errate of Kariya and Toyooka (1992), Bounds for normal approximations to the distributions of generalized least squares predictors and estimators ⋮ Effects of the estimation of covariance matrix parameters in the generalized multivariate linear model ⋮ Bounds for normal approximations to the distributions of generalized least squares predictors and estimators ⋮ Mean squared prediction error in the spatial linear model with estimated covariance parameters ⋮ On maximum likelihood estimation of parameters in incorrectly specified models of covariance for spatial data ⋮ On the stability of the geostatistical method ⋮ Second-order risk comparison of SLSE with GLSE and MLE in a regression with serial correlation

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