Estimation based on one step ahead prediction versus estimation based on multi-step ahead prediction

DOI10.1080/17442508108833190zbMath0474.62088OpenAlexW1981713328MaRDI QIDQ3928871

Paul V. Kabaila

Publication date: 1981

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508108833190

zbMATH Keywords

error estimatornonlinear autoregressionstrictly stationary time series

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10)

Related Items (5)

Asymptotically efficient autoregressive model selection for multistep prediction ⋮ Modeling of time series arrays by multistep prediction or likelihood methods. ⋮ ESTIMATION OF THE PREDICTION ERROR VARIANCE AND AN R²MEASURE BY AUTOREGRESSIVE MODEL FITTING ⋮ Autoregressive model selection for multistep prediction ⋮ Uniqueness of estimated k-step prediction models of ARMA processes

Cites Work

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• An optimality property of the least-squares estimate of the parameter of the spectrum of a purely nondeterministic time series
• Stationarity and invertibility of simple bilinear models
• Estimation and information in stationary time series
• Nonlinear autoregressive processes
• Some Theorems on Distribution Functions
• On the Statistical Treatment of Linear Stochastic Difference Equations

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