ON RISSANEN'S LOWER BOUND ON THE ACCUMULATED MEAN‐SQUARE PREDICTION ERROR

Paul Kabaila

Journal of Time Series Analysis, 1987, vol. 8, issue 3, 301-309

Abstract: Abstract. Rissanen (1984) presents a lower bound on the accumulated mean square prediction error for a Gaussian ARMA process. Rissanen proves this result using coding theory. In this paper we show that this bound is related to the Cramer‐Rao bound and Fisher's bound on asymptotic variances, for the case of a Gaussian AR process. This provides some insight into Rissanen's lower bound. Analogues of Rissanen's bound, for nonaccumulated prediction error and a Gaussian AR process, are also presented and discussed.

Date: 1987
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