差分平稳和趋势平稳过程预测的有限样本均方误差。

ERN: Time-Series Models (Single) (Topic) Pub Date : 2012-09-11 DOI:10.2139/ssrn.2144876

Naresh C. Mallick

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引用次数: 0

摘要

本文导出了具有参数确定性和不确定性的差分平稳(DSP)和趋势平稳(TSP)数据生成过程在冲击序列遵循无限阶移动平均时预测的有限样本精确均方误差(mse)及其界的表达式。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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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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ERN: Time-Series Models (Single) (Topic)

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