Forecasting with Misspecified Models

DOI10.2307/2346415MaRDI QIDQ3870192zbMATH OpenOpenAlexFDO

Authors Neville Davies, Paul Newbold

Publication date 1980

Published in Applied Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/2346415

zbMATH Keywords

forecastingmodel misspecificationtime series analysisautoregressive modelsexpected-squared-error of prediction

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)

Cited in

(5)

• MODELING LONG-MEMORY PROCESSES FOR OPTIMAL LONG-RANGE PREDICTION
• Forecasting high-dimensional portfolios
• COMPONENTS OF PREDICTION ERRORS FOR A STATIONARY PROCESS WITH ESTIMATED PARAMETERS
• SOME ASPECTS OF THE PERFORMANCE OF DIAGNOSTIC CHECKS IN BIVARIATE TIME SERIES MODELS
• PREDICTION ERROR OF MULTIVARIATE TIME SERIES WITH MIS-SPECIFIED MODELS

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