Asymptotic Properties of an Estimate of the Prediction Error Variance

DOI10.1111/J.1467-842X.1981.TB00774.XzbMATH Open0483.62083MaRDI QIDQ3942269FDOQ3942269

Authors: Hongzhi An 

Publication date: 1981

Published in: Australian Journal of Statistics (Search for Journal in Brave)

zbMATH Keywords

asymptotic normalitystrong consistencyspectral densitystationary time seriesasymptotic variancesample autocovariance

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Prediction theory (aspects of stochastic processes) (60G25) Inference from stochastic processes and spectral analysis (62M15)

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