On the martingale approximation of the estimation error of ARMA parameters
✍ Scribed by László Gerencsér
- Publisher
- Elsevier Science
- Year
- 1990
- Tongue
- English
- Weight
- 437 KB
- Volume
- 15
- Category
- Article
- ISSN
- 0167-6911
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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
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