{"title":"差分平稳和趋势平稳过程预测的有限样本均方误差。","authors":"Naresh C. Mallick","doi":"10.2139/ssrn.2144876","DOIUrl":null,"url":null,"abstract":"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.","PeriodicalId":418701,"journal":{"name":"ERN: Time-Series Models (Single) (Topic)","volume":"87 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2012-09-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Finite Sample Mean Square Error of Forecast for the Difference Stationary and the Trend Stationary Processes.\",\"authors\":\"Naresh C. Mallick\",\"doi\":\"10.2139/ssrn.2144876\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"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.\",\"PeriodicalId\":418701,\"journal\":{\"name\":\"ERN: Time-Series Models (Single) (Topic)\",\"volume\":\"87 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2012-09-11\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"ERN: Time-Series Models (Single) (Topic)\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.2144876\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"ERN: Time-Series Models (Single) (Topic)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.2144876","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
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.