On Assessing Prediction Error in Autoregressive Models

DOI10.1111/1467-9892.00164MaRDI QIDQ4956035zbMATH OpenOpenAlexFDO

Authors Zhisong He, Paul Kabaila

Publication date 24 May 2000

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

Full work available at URL https://doi.org/10.1111/1467-9892.00164

zbMATH Keywords

first order autoregressionmean square errorprediction error

Mathematics Subject Classification ID

Parametric tolerance and confidence regions (62F25) Inference from stochastic processes and prediction (62M20)

Review text

For a Gaussian AR(1) stationary time series \(Y(t)=\vartheta Y(t-1)+\eta(t)\) the problem of one-step-ahead prediction is considered. A standard predictor for \(Y(t)\), say \(\hat\vartheta_n Y(t-1)\), is used with \( \hat\vartheta_n=\sum_{t=2}^n Y(t)Y(t-1)/\sum_{t=1}^{n-1}Y^2(t) \). The conditional (with respect to the observed data) mean square error \(V\) is used as a measure of the prediction performance. The authors demonstrate analytically and by simulations that the estimator of \(V\) proposed by \textit{P. Zhang} and \textit{P. Shaman} [Trans. Am. Math. Soc. 347, No. 2, 627-637 (1995; Zbl 0814.62062)] has bad performance. They propose a new estimator \[ \bar V=n(n-1)^{-1}\hat s_n^2+n^{-1}(1-\hat\vartheta_n^2)Y^2(n), \] \[ \text{where}\quad \hat s_n^2=(n-1)^{-1}\sum_{t=2}^n(Y(t)-\hat\vartheta_n Y(t+1))^2. \] Results of simulations demonstrate good performance of the \(\bar V\) estimate.

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