On the Error of Prediction of a Time Series

Abstract : Parametric and nonparametric procedures for the prediction of a time series are discussed. In each case the increase in the mean squared error of prediction over its minimum level due to the use of estimated spectra is assessed. The fitting of simple parametric models as approximations is also discussed. (Author)

Related Organizations

College of New Jersey
United States

Keywords

Time series, auto-correlation, regression, etc. in statistics (GARCH), Inference from stochastic processes and spectral analysis, Inference from stochastic processes and prediction

Impact byBIP!

	selected citations These citations are derived from selected sources. This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).	38
	popularity This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.	Average
	influence This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).	Top 10%
	impulse This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.	Average