Asymptotic Mean Square Prediction Error for an Autoregressive Model with Estimated Coefficients

Taku Yamamoto

Journal of the Royal Statistical Society Series C, 1976, vol. 25, issue 2, 123-127

Abstract: In this note, a manageable expression for the asymptotic mean square error of predicting more than one‐step ahead from an estimated autoregressive model is derived. The result relies on a useful lemma on matrix differentiation, and differs from recent similar work of Bhansali (1974).

Date: 1976
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