Statistical forecasting for stochastic processes |
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Authors: | I V Basawa |
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Institution: | (1) Department of Mathematical Statistics, La Trobe University, 3083 Bundoora, Victoria, Australia |
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Abstract: | The main purpose of this paper is to review the efficiency properties of least-squares predictors when the parameters are estimated. It is shown that the criterion of asymptotic best unbiased predictors for general stochastic models is a natural analogue of the minimum mean-square error criterion used traditionally in linear prediction for linear models. The results are applied to log-linear models and autoregressive processes. Both stationary and non-stationary processes are considered.This paper is based on a key note lecture given at the meeting of The Institute of Management Sciences and the Operations Research Society of America, held in Williamsburg, Virginia, January 7–9, 1985. |
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Keywords: | Estimated predictors asymptotic efficiency maximum likelihood estimates asymptotic prediction error variance log-linear models |
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