Assessing Prediction Error in Autoregressive Models

DOI10.2307/2154905zbMath0814.62062OpenAlexW4212957496MaRDI QIDQ4318465

Ping Zhang, Paul Shaman

Publication date: 18 June 1995

Full work available at URL: https://doi.org/10.2307/2154905

zbMATH Keywords

correlationtime seriescorrelation coefficientcumulantconditional prediction errornon-Gaussian modelhigher-order spectrumunconditional prediction error

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Measures of association (correlation, canonical correlation, etc.) (62H20) Inference from stochastic processes and spectral analysis (62M15)

Cites Work

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• What is an analysis of variance?
• Statistical predictor identification
• The Bias of Autoregressive Coefficient Estimators
• Properties of Predictors for Autoregressive Time Series
• ON THE STRUCTURE OF THE LIKELIHOOD FUNCTION OF AUTOREGRESSIVE AND MOVING AVERAGE MODELS
• Selection of the order of an autoregressive model by Akaike's information criterion

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