Robustness of maximum likelihood estimates for multi-step predictions: The exponential smoothing case
DOI10.1093/BIOMET/80.3.623zbMATH Open0808.62086OpenAlexW2008192499MaRDI QIDQ4280032FDOQ4280032
Authors: George C. Tiao, Daming Xu 
Publication date: 16 March 1995
Published in: Biometrika (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1093/biomet/80.3.623
Recommendations
consistencydiagnostic testasymptotic distributionlinear time seriesmean squared errormulti-step forecastingoptimal estimatorsforecast errorsloss of efficiencyseasonal modelsnonstationary modelsARIMA(p,d,p)exponential smoothing predictorrobustness of maximum likelihood estimates
Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Robustness and adaptive procedures (parametric inference) (62F35)
Cited In (11)
- A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series
- Multi-step estimators and shrinkage effect in time series models
- Asymptotically efficient autoregressive model selection for multistep prediction
- Autoregressive model selection for multistep prediction
- A test for improved multi-step forecasting
- Selecting optimal multistep predictors for autoregressive processes of unknown order.
- The multistep Beveridge-Nelson decomposition
- Computing the mean square error of unobserved components extracted by misspecified time series models
- Signal extraction and filtering by linear semiparametric methods
- Modeling of time series arrays by multistep prediction or likelihood methods.
- Feature matching in time series modeling
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