Properties of Predictors for Autoregressive Time Series

DOI10.2307/2287061MaRDI QIDQ3917388zbMATH OpenOpenAlexFDO

Authors Wayne A. Fuller, David P. Hasza

Publication date 1981

Full work available at URL https://doi.org/10.2307/2287061

zbMATH Keywords

autoregressive time seriesconsistent estimatormean squared errornon-stationary processpredictionregression

Mathematics Subject Classification ID

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

Cited in

(33)

• Asymptotic bias of the least squares estimator for multivariate autoregressive models
• The exact multi-period mean-square forecast error for the first-order autoregressive model
• Mean squared prediction error in the spatial linear model with estimated covariance parameters
• Bayesian long-run prediction in time series models
• Does modeling a structural break improve forecast accuracy?
• Inverse moment bounds for sample autocovariance matrices based on detrended time series and their applications
• A note on mean squared prediction error under the unit root model with deterministic trend
• Identification of TAR models using recursive estimation
• Assessment of uncertainty in computer experiments from universal to Bayesian kriging
• Forecast accuracy and effort: the case of US inflation rates
• ESTIMATION OF THE MOVING-AVERAGE REPRESENTATION OF A STATIONARY PROCESS BY AUTOREGRESSIVE MODEL FITTING
• COMPONENTS OF PREDICTION ERRORS FOR A STATIONARY PROCESS WITH ESTIMATED PARAMETERS
• OPTIMALITY OF THE MAXIMUM LIKELIHOOD ESTIMATOR IN FIRST-ORDER AUTOREGRESSIVE PROCESSES
• PROPERTIES OF PREDICTORS FOR MULTIVARIATE AUTOREGRESSIVE MODELS WITH ESTIMATED PARAMETERS
• BIASES OF ESTIMATORS IN MULTIVARIATE NON-GAUSSIAN AUTOREGRESSIONS
• Measuring the Advantages of Multivariate vs. Univariate Forecasts
• Prediction errors in nonstationary autoregressions of infinite order
• The effects of model parameter deviations on the variance of a linearly filtered time series
• Moment bounds and mean squared prediction errors of long-memory time series
• ON RISSANEN'S LOWER BOUND ON THE ACCUMULATED MEAN-SQUARE PREDICTION ERROR
• ON BOOTSTRAP PREDICTIVE INFERENCE FOR AUTOREGRESSIVE PROCESSES
• Assessing Prediction Error in Autoregressive Models
• Multistep prediction in autoregressive processes
• ESTIMATION OF THE PREDICTION ERROR VARIANCE AND AN R²MEASURE BY AUTOREGRESSIVE MODEL FITTING
• Asymptotically efficient model selection for panel data forecasting
• Negative Moment Bounds for Stochastic Regression Models with Deterministic Trends and Their Applications to Prediction Problems
• Optimal sampling of parametric families: implications for machine learning
• The exact multi-period mean-square forecast error for the first-order autoregressive model with an intercept
• On the stability of the geostatistical method
• Toward optimal multistep forecasts in non-stationary autoregressions
• CLAR(1) point forecasting under estimation uncertainty
• Uniform moment bounds of Fisher's information with applications to time series
• Negative moment bounds for sample autocovariance matrices of stationary processes driven by conditional heteroscedastic errors and their applications

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