Skip Navigation

Biometrika 1986 73(2):467-473; doi:10.1093/biomet/73.2.467
© 1986 by Biometrika Trust
This Article
Right arrow Full Text (PDF)
Right arrow Alert me when this article is cited
Right arrow Alert me if a correction is posted
Services
Right arrow Email this article to a friend
Right arrow Similar articles in this journal
Right arrow Alert me to new issues of the journal
Right arrow Add to My Personal Archive
Right arrow Download to citation manager
Right arrowRequest Permissions
Google Scholar
Right arrow Articles by KOHN, R.
Right arrow Articles by ANSLEY, C. F.
Right arrow Search for Related Content
Social Bookmarking
Add to CiteULike   Add to Connotea   Add to Del.icio.us  
What's this?

Prediction mean squared error for state space models with estimated parameters

ROBERT KOHN and CRAIG F. ANSLEY

Graduate School of Business, University of Chicago Chicago, Illinois, 60637, U.S.A.

We obtain a conditional prediction mean squared error for a state space model with estimated parameters. An important application of our results is the derivation of conditional forecast and interpolation mean squared errors for autoregressive-moving average models with estimated parameters. We also obtain the conditional mean squared error for filtered and smoothed estimates of the state vector.

Key Words: Autoregressive-moving average model • Conditional expectation • Interpolation • Mean squared error • Parameter • Prediction • State space


Add to CiteULike CiteULike   Add to Connotea Connotea   Add to Del.icio.us Del.icio.us    What's this?




Disclaimer:
Please note that abstracts for content published before 1996 were created through digital scanning and may therefore not exactly replicate the text of the original print issues. All efforts have been made to ensure accuracy, but the Publisher will not be held responsible for any remaining inaccuracies. If you require any further clarification, please contact our Customer Services Department.