Estimation of prediction error in time series

DOI10.1093/BIOMET/ASAD053MaRDI QIDQ6637896zbMATH OpenFDO

Authors Alexander Aue, Prabir Burman

Publication date 13 November 2024

Published in Biometrika (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/BIOMET/ASAD053

zbMATH Keywords

accumulated prediction errorARMA modelcross-validationmulti-step-ahead predictionmultivariate time seriesnonparametric autoregressive processunivariate time series

Mathematics Subject Classification ID

Statistics (62-XX)

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