Asymptotic Mean‐Square Error of Predicting More than One‐Step Ahead Using the Regression Method

R. J. Bhansali

Journal of the Royal Statistical Society Series C, 1974, vol. 23, issue 1, 35-42

Abstract: We consider the question of linear, least‐squares prediction of the future values of a discrete, stationary autoregressive process from a realization of past values. An expression is given for the asymptotic mean‐square error of predicting more than one‐step ahead when the autoregressive coefficients are estimated from the sample by solving the Yule‐Walker equations. Computer results are given to demonstrate the usefulness of the asymptotic result.

Date: 1974
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