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March, 1987 Asymptotic Distributions of Prediction Errors and Related Tests of Fit for Nonstationary Processes
I. V. Basawa
Ann. Statist. 15(1): 46-58 (March, 1987). DOI: 10.1214/aos/1176350252

Abstract

Limit distributions of prediction errors when the parameters are estimated are obtained for a general class of nonstationary processes that includes supercritical branching processes and explosive autoregressive processes as typical examples. The estimated prediction errors are used to construct new tests of fit whose limit distributions are also derived.

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I. V. Basawa. "Asymptotic Distributions of Prediction Errors and Related Tests of Fit for Nonstationary Processes." Ann. Statist. 15 (1) 46 - 58, March, 1987. https://doi.org/10.1214/aos/1176350252

Information

Published: March, 1987
First available in Project Euclid: 12 April 2007

zbMATH: 0625.62084
MathSciNet: MR885723
Digital Object Identifier: 10.1214/aos/1176350252

Subjects:
Primary: 62M07
Secondary: 62M09, 62M10

Rights: Copyright © 1987 Institute of Mathematical Statistics

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Vol.15 • No. 1 • March, 1987
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