The Estimation of the Prediction Error Variance

DOI10.2307/2286470MaRDI QIDQ4148848zbMATH OpenOpenAlexFDO

Authors E. J. Hannan, D. F. Nicholls

Publication date 1977

Published in Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/2286470

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)

Cited in

(16)

• Quantifying the accuracy of Hammerstein model estimation
• ESTIMATION OF THE PREDICTION ERROR VARIANCE AND AN R²MEASURE BY AUTOREGRESSIVE MODEL FITTING
• The variance profile
• Efficient nonparametric estimation of generalised autocovariances
• NON-PARAMETRIC APPROACH IN TIME SERIES ANALYSIS
• Convergence rates for inverse Toeplitz matrix forms
• ASYMPTOTIC RELATIVE EFFICIENCY OF SOME TESTS OF FIT IN TIME SERIES MODELS
• Estimators of long-memory: Fourier versus wavelets
• Parameter estimation of an autoregressive moving average model
• Estimation of prediction error variance
• THE CRITERION AUTOREGRESSIVE TRANSFER FUNCTION OF PARZEN
• The generalised autocovariance function
• Difference-based methods for truncating the singular value decomposition
• ESTIMATION OF THE MOVING-AVERAGE REPRESENTATION OF A STATIONARY PROCESS BY AUTOREGRESSIVE MODEL FITTING
• THE EXACT ERROR IN ESTIMATING THE SPECTRAL DENSITY AT THE ORIGIN
• THE DISTRIBUTION OF PERIODOGRAM ORDINATES

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