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Asymptotic Mean Square Prediction Error for an Autoregressive Model with Estimated Coefficients
Author(s) -
Yamamoto Taku
Publication year - 1976
Publication title -
journal of the royal statistical society: series c (applied statistics)
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.205
H-Index - 72
eISSN - 1467-9876
pISSN - 0035-9254
DOI - 10.2307/2346680
Subject(s) - autoregressive model , statistics , mathematics , mean squared error , autoregressive integrated moving average , econometrics , time series
Summary 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).