Properties of Predictors in Misspecified Autoregressive Time Series Models

DOI10.2307/2288558MaRDI QIDQ3716155zbMATH OpenOpenAlexFDO

Authors Naoto Kunitomo, Taku Yamamoto

Publication date 1985

Full work available at URL https://doi.org/10.2307/2288558

zbMATH Keywords

autoregressive modelautoregressive moving average modelbiasdependenceleast squares estimatormean squared errormisspecificationnon-Gaussian processnonnormalitypredictionstationary linear time series modelstime domain

Mathematics Subject Classification ID

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

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