ESTIMATION OF THE PREDICTION ERROR VARIANCE AND AN R2MEASURE BY AUTOREGRESSIVE MODEL FITTING

DOI10.1111/j.1467-9892.1993.tb00133.xzbMath0767.62078OpenAlexW1971809850MaRDI QIDQ4696570

R. J. Bhansali

Publication date: 29 June 1993

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1993.tb00133.x

zbMATH Keywords

model selectionstationary processprediction intervalsimulation studypredictabilitybias correctionasymptotically equivalentfinite sample behaviourasymptotic normal distribution\(h\)-step prediction errorautoregressive estimators

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Inference from stochastic processes and prediction (62M20) Asymptotic distribution theory in statistics (62E20)

Related Items (2)

Asymptotically efficient autoregressive model selection for multistep prediction ⋮ Autoregressive model selection for multistep prediction

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