Prediction Mean Squared Error for State Space Models with Estimated Parameters
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Publication:3740087
DOI10.2307/2336224zbMath0603.62102OpenAlexW4230212760MaRDI QIDQ3740087
Publication date: 1986
Published in: Biometrika (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/2336224
predictioninterpolationGaussianconditional expectationARMA modelsstate space modelMSEautoregressive-moving average modelconditional mean square error
Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation and detection in stochastic control theory (93E10)
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