Robustness of maximum likelihood estimates for multi-step predictions: The exponential smoothing case

DOI10.1093/biomet/80.3.623zbMath0808.62086OpenAlexW2008192499MaRDI QIDQ4280032

George C. Tiao, Daming Xu

Publication date: 16 March 1995

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/biomet/80.3.623

zbMATH Keywords

asymptotic distributionconsistencymean squared errorlinear time seriesdiagnostic testoptimal estimatorsmulti-step forecastingforecast errorsloss of efficiencyseasonal modelsnonstationary modelsARIMA(p,d,p)exponential smoothing predictorrobustness of maximum likelihood estimates

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10) Robustness and adaptive procedures (parametric inference) (62F35)

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