The exact multi-period mean-square forecast error for the first-order autoregressive model
Author:
Publisher
Elsevier BV
Subject
Applied Mathematics,Economics and Econometrics
Reference38 articles.
1. On asymptotic distributions of estimates of parameters of stochastic difference equations;Anderson;Annals of Mathematical Statistics,1959
2. Finite sample properties of estimators for autoregressive moving average models;Ansley;Journal of Econometrics,1980
3. The asymptotic mean squared error of multistep prediction from the regression model with autoregressive errors;Baillie;Journal of the American Statistical Association,1979
4. Multiperiod predictions from stochastic difference equations by Bayesian methods;Chow;Econometrica,1973
5. Monte Carlo results for estimation in a stable Markov time series;Copas;Journal of the Royal Statistical Society A,1966
Cited by 31 articles. 订阅此论文施引文献 订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献
1. Multi-step forecasting in the presence of breaks;Journal of Forecasting;2017-07-06
2. When are Direct Multi-step and Iterative Forecasts Identical?;Journal of Forecasting;2015-04-19
3. Asymptotic forecasting error evaluation for estimated temporally aggregated linear processes;International Journal of Computational Economics and Econometrics;2015
4. ECONOMIC FORECAST QUALITY AND PUBLICATION LAGS*;The Manchester School;2012-06-19
5. Rejoinder;Journal of Business & Economic Statistics;2012-01
1.学者识别学者识别
2.学术分析学术分析
3.人才评估人才评估
"同舟云学术"是以全球学者为主线,采集、加工和组织学术论文而形成的新型学术文献查询和分析系统,可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容,当前同舟云学术共收录了国内外主流学术期刊6万余种,收集的期刊论文及会议论文总量共计约1.5亿篇,并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询!咨询电话:010-8811{复制后删除}0370
www.globalauthorid.com
TOP
Copyright © 2019-2024 北京同舟云网络信息技术有限公司 京公网安备11010802033243号 京ICP备18003416号-3