Title of article
A note on asymptotic parametric prediction
Author/Authors
Bosq، نويسنده , , Denis، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2009
Pages
8
From page
1506
To page
1513
Abstract
This paper is devoted to asymptotic behaviour of plug-in statistical predictors obtained by replacing the unknown parameter in a conditional expectation by a suitable estimator. We derive the L 2 -convergence rate and limit in distribution for the predictors. Applications to ARMA processes and diffusion processes are considered.
Keywords
Prediction , Autoregressive process , Moving average process , Ornstein–Uhlenbeck process , diffusion process , Limit in distribution , Prediction interval
Journal title
Journal of Statistical Planning and Inference
Serial Year
2009
Journal title
Journal of Statistical Planning and Inference
Record number
2219949
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