论文信息 - Asymptotic mean square prediction error for an autoregressive model with estimated coefficients

Asymptotic mean square prediction error for an autoregressive model with estimated coefficients

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).

Taku Yamamoto | Taku Yamamoto

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