The Estimation of the Prediction Error Variance
作者:
E.J. Hannan,
D.F. Nicholls,
期刊:
Journal of the American Statistical Association
(Taylor Available online 1977)
卷期:
Volume 72,
issue 360
页码: 834-840
ISSN:0162-1459
年代: 1977
DOI:10.1080/01621459.1977.10479966
出版商: Taylor & Francis Group
关键词: Stationary time series;Spectral density;Prediction error variance;Fast Fourier transform
数据来源: Taylor
摘要:
Spectral methods are used to construct an estimate of the variance of the prediction error for a normal, stationary process. The estimate obtained is shown to be strongly consistent and asymptotically normally distributed. Some aspects of the computations with respect to the fast Fourier transform are considered. The latter half of the article consists of a number of simulations, based on both generated and real data, which illustrate the results obtained. The relation between the estimate and that obtained from a high order autoregression is discussed.
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