Prediction Mean Squared Error for State Space Models with Estimated Parameters

ARMA models autoregressive-moving average model conditional expectation conditional mean square error Gaussian interpolation MSE prediction state space model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Estimation and detection in stochastic control theory (93E10)

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