On Estimating Conditional Mean-Squared Prediction Error in Autoregressive Models

DOI10.1111/1467-9892.00313MaRDI QIDQ4455658zbMATH OpenOpenAlexFDO

Authors Ching-Kang Ing, Shu-Hui Yu

Publication date 16 March 2004

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/1467-9892.00313

zbMATH Keywords

autoregressive modelsasymptotic correlationconditional mean-squared prediction error

Mathematics Subject Classification ID

Point estimation (62F10) Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• On Assessing Prediction Error in Autoregressive Models
• The sampling distribution of forecasts from a first-order autoregression

Cited in

(8)

• scientific article; zbMATH DE number 3876439 (Why is no real title available?)
• Improving the convergence rate in conditional autoregressive models
• Assessing Prediction Error in Autoregressive Models
• Asymptotic mean‐squared forecast error when an autoregression with linear trend is fitted to data generated by an I(0) or I(1) process
• ASYMPTOTIC MEAN SQUARE PREDICTION ERROR FOR A MULTIVARIATE AUTOREGRESSIVE MODEL WITH RANDOM COEFFICIENTS
• The exact multi-period mean-square forecast error for the first-order autoregressive model
• Order selection for same-realization predictions in autoregressive processes
• Assessing one-step-ahead prediction error based on the median for first-order autoregressive models in the presence of outliers

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