COMPONENTS OF PREDICTION ERRORS FOR A STATIONARY PROCESS WITH ESTIMATED PARAMETERS

Stergios Fotopoulos () and W. D. Ray

Journal of Time Series Analysis, 1983, vol. 4, issue 1, 1-8

Abstract: Abstract. An alternative approach to the estimation of prediction error using linear time series models, whose parameters are also estimated, is presented. Recurrence relationships are given which are rather less unwieldy operationally than the Kronecker matrix forms used by Yamamoto and Reinsel. We extend somewhat the class of models to other than the purely finite autoregressive models studied by these authors.

Date: 1983
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