PREDICTION MEAN SQUARED ERROR FOR STATE-SPACE MODELS WITH ESTIMATED PARAMETERS

被引:34
作者
ANSLEY, CF
KOHN, R
机构
关键词
D O I
10.2307/2336224
中图分类号
Q [生物科学];
学科分类号
07 ; 0710 ; 09 ;
摘要
引用
收藏
页码:467 / 473
页数:7
相关论文
共 17 条
[1]  
Anderson B., 1979, OPTIMAL FILTERING
[2]   ON THE BIAS IN ESTIMATES OF FORECAST MEAN SQUARED ERROR [J].
ANSLEY, CF ;
NEWBOLD, P .
JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 1981, 76 (375) :569-578
[3]   PREDICTIONS FROM ARMAX MODELS [J].
BAILLIE, RT .
JOURNAL OF ECONOMETRICS, 1980, 12 (03) :365-374
[4]  
BAILLIE RT, 1979, BIOMETRIKA, V66, P675
[5]   ERROR OF PREDICTION OF A TIME SERIES [J].
BLOOMFIELD, P .
BIOMETRIKA, 1972, 59 (03) :501-507
[6]   PROPERTIES OF PREDICTORS FOR AUTOREGRESSIVE TIME-SERIES [J].
FULLER, WA ;
HASZA, DP .
JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 1981, 76 (373) :155-161
[7]  
Gardener G., 1980, J R STAT SOC C-APPL, V29, P311, DOI DOI 10.2307/2346910
[8]  
Hannan J., 2013, TECH NOTE, V43153
[9]   ESTIMATING MISSING OBSERVATIONS IN ECONOMIC TIME-SERIES [J].
HARVEY, AC ;
PIERSE, RG .
JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 1984, 79 (385) :125-131
[10]  
JOHNSON LW, 1980, INT STAT REV, V48, P95