Linear prediction by autoregressive model fitting in the time domain

DOI10.1214/AOS/1176344081MaRDI QIDQ1248876zbMATH OpenOpenAlexFDO

Authors R. J. Bhansali

Publication date 1978

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/aos/1176344081

Mathematics Subject Classification ID

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

Cited in

(31)

• Asymptotics for estimation of quantile regressions with truncated infinite-dimensional proc\-ess\-es
• Prediction of multivariate time series by autoregressive model fitting
• Simple consistent estimation of the coefficients of a linear filter
• On prediction of integrated moving average processes
• Innovations algorithm for periodically stationary time series
• On same-realization prediction in an infinite-order autoregressive process.
• The effects of different choices of order for autoregressive approximation on the Gaussian likelihood estimates for ARMA models
• Model averaging prediction for time series models with a diverging number of parameters
• Innovations algorithm asymptotics for periodically stationary time series with heavy tails
• Short and long run causality measures: theory and inference
• Prediction of long memory processes on same-realisation
• (WHEN) DO LONG AUTOREGRESSIONS ACCOUNT FOR NEGLECTED CHANGES IN PARAMETERS?
• COMPONENTS OF PREDICTION ERRORS FOR A STATIONARY PROCESS WITH ESTIMATED PARAMETERS
• Using least squares to generate forecasts in regressions with serial correlation
• Recursive predictive tests for structural change of long-memory ARFIMA processes with unknown break points
• THE CRITERION AUTOREGRESSIVE TRANSFER FUNCTION OF PARZEN
• PREDICTION ERROR OF MULTIVARIATE TIME SERIES WITH MIS-SPECIFIED MODELS
• Simultaneous confidence bands for sequential autoregressive fitting
• ESTIMATION OF AUTOREGRESSIVE MOVING-AVERAGE MODELS VIA HIGH-ORDER AUTOREGRESSIVE APPROXIMATIONS
• A significance test for classifying arma models
• Testing for unit roots in time series with nearly deterministic seasonal variation
• Forecasting with serially correlated regression models
• Asymptotic results for Fourier-PARMA time series
• Bias in dynamic panel models under time series misspecification
• Asymptotic and Bootstrap Inference for AR(∞) Processes with Conditional Heteroskedasticity
• Linear prediction of long-range dependent time series
• Portmanteau tests for linearity of stationary time series
• NONPARAMETRIC PREDICTION WITH SPATIAL DATA
• The smallest singular value of large random rectangular Toeplitz and circulant matrices
• Estimation of the memory parameter by fitting fractionally differenced autoregressive models
• On the predictability of long-range dependent series

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