Adaptive prediction by least squares predictors in stochastic regression models with applications to time series
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Publication:1102060
DOI10.1214/aos/1176350617zbMath0643.62058OpenAlexW2033207252MaRDI QIDQ1102060
Publication date: 1987
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aos/1176350617
martingale difference sequenceadaptive predictionstochastic regression modelaccumulated cost functionleast squares predictorsnonstationary autoregressive time series
Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05)
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