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Biometrika 1982 69(2):453-459; doi:10.1093/biomet/69.2.453
© 1982 by Biometrika Trust
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Prediction error in a linear model with estimated parameters

YASUYUKI TOYOOKA

Department of Applied Mathematics, Osaka University Japan

An expansion is obtained for the prediction mean squared error of the predictor with estimated parameters for the general statistical linear model. The samples and the estimators for the structural parameters contained in the variance-covariance matrix are assumed independent.

Key Words: Expansion of prediction mean squared error • Linear model • Moving average process


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