ING, CHING-KANG; YU, SHU-HUI - In: Journal of Time Series Analysis 24 (2003) 4, pp. 401-422
Zhang and Shaman considered the problem of estimating the conditional mean-squared prediciton error (CMSPE) for a Gaussian autoregressive (AR) process. They used the final prediction error (FPE) of Akaike to estimate CMSPE and proposed that FPE's effectiveness be judged by its asymptotic...