Robustness of maximum likelihood estimates for multi-step predictions: The exponential smoothing case

DOI10.1093/BIOMET/80.3.623MaRDI QIDQ4280032zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

ARIMA(p,d,p)asymptotic distributionconsistencydiagnostic testexponential smoothing predictorforecast errorslinear time seriesloss of efficiencymean squared errormulti-step forecastingnonstationary modelsoptimal estimatorsrobustness of maximum likelihood estimatesseasonal models

Mathematics Subject Classification ID

Point estimation (62F10) Robustness and adaptive procedures (parametric inference) (62F35) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)

Cited in

(12)

• Signal extraction and filtering by linear semiparametric methods
• Autoregressive model selection for multistep prediction
• Asymptotically efficient autoregressive model selection for multistep prediction
• Modeling of time series arrays by multistep prediction or likelihood methods.
• Selecting optimal multistep predictors for autoregressive processes of unknown order.
• Computing the mean square error of unobserved components extracted by misspecified time series models
• A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series
• A test for improved multi-step forecasting
• scientific article; zbMATH DE number 804215 (Why is no real title available?)
• The multistep Beveridge-Nelson decomposition
• Feature matching in time series modeling
• Multi-step estimators and shrinkage effect in time series models

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