Finite Sample Mean Square Error of Forecast for the Difference Stationary and the Trend Stationary Processes

This paper derives expressions for the finite sample exact mean square errors (MSEs) of forecast and for their bounds for the difference stationary (DSP) and the trend stationary (TSP) data generating processes with parameters certainty and uncertainty when the shock sequences follow infinite order moving averages

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Year of publication:	2015
Authors:	Mallick, Naresh C.
Publisher:	[2015]: [S.l.] : SSRN
Subject:	Zeitreihenanalyse \| Time series analysis \| Schätztheorie \| Estimation theory

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Extent:	1 Online-Ressource (22 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 11, 2012 erstellt
Other identifiers:	10.2139/ssrn.2144876 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013036507