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Mixture of measurement errors and their impact on parameter inferences

✍ Scribed by Gan, Jianjun; Zhang, Hongmei; Best, Robert

Book ID
121405301
Publisher
Taylor and Francis Group
Year
2013
Tongue
English
Weight
249 KB
Volume
83
Category
Article
ISSN
0094-9655

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Measurement errors can have dramatic impact on the outcome of empirical analysis. In this article we quantify the eects that they can have on predictions generated from ARMA processes. Lower and upper bounds are derived for dierences in minimum mean squared prediction errors (MMSE) for forecasts gen