Assessing Prediction Error in Autoregressive Models

DOI10.2307/2154905MaRDI QIDQ4318465zbMATH OpenOpenAlexFDO

Authors Ping Zhang, Paul Shaman

Publication date 18 June 1995

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

zbMATH Keywords

conditional prediction errorcorrelationcorrelation coefficientcumulanthigher-order spectrumnon-Gaussian modeltime seriesunconditional prediction error

Mathematics Subject Classification ID

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

Recommendations

• On Assessing Prediction Error in Autoregressive Models
• ESTIMATION OF THE PREDICTION ERROR VARIANCE AND AN R²MEASURE BY AUTOREGRESSIVE MODEL FITTING
• scientific article; zbMATH DE number 3876439
• On Estimating Conditional Mean-Squared Prediction Error in Autoregressive Models
• Fitting autoregressive models for prediction
• Estimation in autoregressive model with measurement error
• Evaluating the Accuracy of Forecasts from Vector Autoregressions

Cites work

• scientific article; zbMATH DE number 3876439 (Why is no real title available?)
• scientific article; zbMATH DE number 4088698 (Why is no real title available?)
• scientific article; zbMATH DE number 775749 (Why is no real title available?)
• ON THE STRUCTURE OF THE LIKELIHOOD FUNCTION OF AUTOREGRESSIVE AND MOVING AVERAGE MODELS
• Properties of Predictors for Autoregressive Time Series
• Selection of the order of an autoregressive model by Akaike's information criterion
• Statistical predictor identification
• The Bias of Autoregressive Coefficient Estimators
• What is an analysis of variance?

Cited in

(4)

• On the estimation of prediction errors in linear regression models
• Assessing prediction error at interpolation and extrapolation points
• Evaluating the Accuracy of Forecasts from Vector Autoregressions
• On Assessing Prediction Error in Autoregressive Models

This page was built for publication: Assessing Prediction Error in Autoregressive Models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4318465)