scientific article; zbMATH DE number 6193729

MaRDI QIDQ5326959zbMATH OpenFDO

Authors Ching-Kang Ing, Chor-Yiu Sin

Publication date 1 August 2013

Full work available at URL https://arxiv.org/abs/math/0702769

zbMATH Keywords

accumulated prediction errorsfinal prediction errorleast squares estimatorsrandom walk models

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)

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Cited in

(9)

• Adaptive prediction by least squares predictors in stochastic regression models with applications to time series
• Properties of predictors in overdifferenced nearly nonstationary autoregression
• Prediction errors in nonstationary autoregressions of infinite order
• Moment bounds and mean squared prediction errors of long-memory time series
• Negative Moment Bounds for Stochastic Regression Models with Deterministic Trends and Their Applications to Prediction Problems
• Toward optimal multistep forecasts in non-stationary autoregressions
• Uniform moment bounds of Fisher's information with applications to time series
• Model averaging prediction for possibly nonstationary autoregressions
• Model selection for integrated autoregressive processes of infinite order

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