PREDICTION ERRORS IN NONSTATIONARY AUTOREGRESSIONS OF INFINITE ORDER

CORC > 厦门大学 > 王亚南院－已发表论文

	PREDICTION ERRORS IN NONSTATIONARY AUTOREGRESSIONS OF INFINITE ORDER
	Ing, Ching-Kang ; Sin, Chor-Yiu ; Yu, Shu-Hui ; Xian CR(冼刍荛)
刊名	http://dx.doi.org/10.1017/S0266466609990107
	2010-06
关键词	TIME-SERIES MODELS REGRESSION SELECTION
英文摘要	Assume that observations are generated from nonstationary autoregressive (AR) processes of infinite order. We adopt a finite-order approximation model to predict future observations and obtain an asymptotic expression for the mean-squared prediction error (MSPE) of the least squares predictor. This expression provides the first exact assessment of the impacts of nonstationarity, model complexity, and model misspecification on the corresponding MSPE. It not only provides a deeper understanding of the least squares predictors in nonstationary time series, but also forms the theoretical foundation for a companion paper by the same authors, which obtains asymptotically efficient order selection in nonstationary AR processes of possibly infinite order.
语种	英语
出版者	ECONOMET THEOR
内容类型	期刊论文
源URL	[http://dspace.xmu.edu.cn/handle/2288/91486]
专题	王亚南院－已发表论文
推荐引用方式 GB/T 7714	Ing, Ching-Kang,Sin, Chor-Yiu,Yu, Shu-Hui,et al. PREDICTION ERRORS IN NONSTATIONARY AUTOREGRESSIONS OF INFINITE ORDER[J]. http://dx.doi.org/10.1017/S0266466609990107,2010.
APA	Ing, Ching-Kang,Sin, Chor-Yiu,Yu, Shu-Hui,&冼刍荛.(2010).PREDICTION ERRORS IN NONSTATIONARY AUTOREGRESSIONS OF INFINITE ORDER.http://dx.doi.org/10.1017/S0266466609990107.
MLA	Ing, Ching-Kang,et al."PREDICTION ERRORS IN NONSTATIONARY AUTOREGRESSIONS OF INFINITE ORDER".http://dx.doi.org/10.1017/S0266466609990107 (2010).