The prediction variance and related statistics for stationary time series

DOI10.1093/BIOMET/65.2.283zbMath0399.62090OpenAlexW2012102239MaRDI QIDQ4184135

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Publication date: 1978

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/biomet/65.2.283

zbMATH Keywords

SimulationsCentral Limit TheoremSpectral AnalysisStrong ConsistencyTime Series RegressionStationary Time SeriesEffect Of Exogeneous VariablesPrediction VarianceSpectral EstimateTest of Fit

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

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