Estimation of prediction error variance
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Publication:1164947
DOI10.1016/0304-4149(82)90005-9zbMath0486.62101MaRDI QIDQ1164947
Publication date: 1982
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0304-4149(82)90005-9
periodogram; spectral density; stationary time series; best linear predictor; prediction error variance
62M20: Inference from stochastic processes and prediction
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62M15: Inference from stochastic processes and spectral analysis
Cites Work