On the Bias in Estimates of Forecast Mean Squared Error

DOI10.2307/2287514zbMath0472.62094OpenAlexW4241182761MaRDI QIDQ3925751

Craig F. Ansley, Paul Newbold

Publication date: 1981

Full work available at URL: https://doi.org/10.2307/2287514

zbMATH Keywords

maximum likelihood estimationautoregressive-moving average modelsleast squares estimatesforecast mean squared error

Mathematics Subject Classification ID

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

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