A revisit to efficient forecasting in linear regression models

DOI10.1016/J.JMVA.2012.07.017MaRDI QIDQ1931859zbMATH OpenOpenAlexFDO

Authors Yanyan Li

Publication date 16 January 2013

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmva.2012.07.017

zbMATH Keywords

least squares estimatorStein-rule estimatorminimum risk approachsimultaneous forecastingsmall disturbance asymptotic theory

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Inference from stochastic processes and prediction (62M20)

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Cited in

(5)

• Regularised forecasting via smooth-rough partitioning of the regression coefficients
• Admissibility of simultaneous prediction for actual and average values in finite population
• A control function approach for testing the usefulness of trending variables in forecast models and linear regression
• Efficient prediction for linear and nonlinear autoregressive models
• Simultaneous prediction in the generalized linear model

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