On Estimating Conditional Mean-Squared Prediction Error in Autoregressive Models

DOI10.1111/1467-9892.00313zbMath1036.62078OpenAlexW1984589428MaRDI QIDQ4455658

Ching-Kang Ing, Shu-Hui Yu

Publication date: 16 March 2004

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9892.00313

zbMATH Keywords

autoregressive modelsasymptotic correlationconditional mean-squared prediction error

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10)

Related Items (2)

Order selection for same-realization predictions in autoregressive processes ⋮ Assessing One-Step-Ahead Prediction Error Based on the Median for First-Order Autoregressive Models in the Presence Of Outliers

Cites Work

• The sampling distribution of forecasts from a first-order autoregression
• On Assessing Prediction Error in Autoregressive Models

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