Estimation based on one step ahead prediction versus estimation based on multi-step ahead prediction

DOI10.1080/17442508108833190MaRDI QIDQ3928871zbMATH OpenOpenAlexFDO

Authors Paul Kabaila

Publication date 1981

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442508108833190

zbMATH Keywords

error estimatornonlinear autoregressionstrictly stationary time series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Stationary stochastic processes (60G10)

Cites work

• scientific article; zbMATH DE number 3683489 (Why is no real title available?)
• scientific article; zbMATH DE number 3577124 (Why is no real title available?)
• scientific article; zbMATH DE number 3357844 (Why is no real title available?)
• An optimality property of the least-squares estimate of the parameter of the spectrum of a purely nondeterministic time series
• Estimation and information in stationary time series
• Nonlinear autoregressive processes
• On the Statistical Treatment of Linear Stochastic Difference Equations
• Some Theorems on Distribution Functions
• Stationarity and invertibility of simple bilinear models

Cited in

(5)

• Asymptotically efficient autoregressive model selection for multistep prediction
• ESTIMATION OF THE PREDICTION ERROR VARIANCE AND AN R²MEASURE BY AUTOREGRESSIVE MODEL FITTING
• Autoregressive model selection for multistep prediction
• Modeling of time series arrays by multistep prediction or likelihood methods.
• Uniqueness of estimated k-step prediction models of ARMA processes

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