Prediction error in a linear model with estimated parameters

DOI10.1093/BIOMET/69.2.453MaRDI QIDQ3954699zbMATH OpenOpenAlexFDO

Authors Yasuyuki Toyooka

Publication date 1982

Published in Biometrika (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/biomet/69.2.453

zbMATH Keywords

BLUEexpansion of prediction mean squared errorgeneralized least squares estimatorlinear modelmoving average processorder of consistencyregression

Mathematics Subject Classification ID

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

Cited in

(9)

• Second-order risk comparison of SLSE with GLSE and MLE in a regression with serial correlation
• A characterization of spherical distributions
• Bounds for normal approximations to the distributions of generalized least squares predictors and estimators
• Mean squared prediction error in the spatial linear model with estimated covariance parameters
• Errate of Kariya and Toyooka (1992), Bounds for normal approximations to the distributions of generalized least squares predictors and estimators
• Effects of the estimation of covariance matrix parameters in the generalized multivariate linear model
• On maximum likelihood estimation of parameters in incorrectly specified models of covariance for spatial data
• On the stability of the geostatistical method
• Non-Gaussian autoregressive processes with Tukey g-and-h transformations

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