COMPONENTS OF PREDICTION ERRORS FOR A STATIONARY PROCESS WITH ESTIMATED PARAMETERS

DOI10.1111/J.1467-9892.1983.TB00352.XMaRDI QIDQ3313165zbMATH OpenOpenAlexFDO

Authors W. D. Ray, Stergios Fotopoulos

Publication date 1983

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

Full work available at URL https://doi.org/10.1111/j.1467-9892.1983.tb00352.x

zbMATH Keywords

ARMA modelsasymptoticsestimation of prediction errorlinear time series models

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20)

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Cites work

• Consistent autoregressive spectral estimates
• Forecasting with Misspecified Models
• scientific article; zbMATH DE number 3357844 (Why is no real title available?)
• Linear prediction by autoregressive model fitting in the time domain
• On an explicit formula in linear least squares prediction
• Predictions of multivariate autoregressive-moving average models
• Properties of Predictors for Autoregressive Time Series
• The Asymptotic Mean Squared Error of Multistep Prediction from the Regression Model with Autoregressive Errors

Cited in

(4)

• Prediction from the regression model with two-way error components
• scientific article; zbMATH DE number 3967748 (Why is no real title available?)
• scientific article; zbMATH DE number 1107644 (Why is no real title available?)
• ESTIMATION OF THE PREDICTION ERROR VARIANCE AND AN R²MEASURE BY AUTOREGRESSIVE MODEL FITTING

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