✦ LIBER ✦

Is the prediction error of a regression model white?

✍ Scribed by Sergio Bittanti

Book ID: 103084628
Publisher: Elsevier Science
Year: 1983
Tongue: English
Weight: 428 KB
Volume: 315
Category: Article
ISSN: 0016-0032
DOI: 10.1016/0016-0032(83)90075-3

No coin nor oath required. For personal study only.

✦ Synopsis

With reference to the classical linear regression problem of Statistics, the whiteness ofprediction errors is discussed. Two notions of prediction error are compared. It is shown that, if

one tests the regression model on a smaller set of data than that used to estimate the model parameters, the errors will not be white.

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