The impact of measurement errors on ARMA prediction

Journal of Forecasting

Volumn 18, Issue 2, 1999, Pages 95-109

  Koreisha, Sergio G ^a,b   Fang, Yue ^a  

^a UNIVERSITY OF OREGON   (United States)

^b UNIVERSITY OF OREGON   (United States)

Author keywords

Autocovariance; Forecasts; Minimum mean square error

Indexed keywords

EID: 0007312237     PISSN: 02776693     EISSN: None     Source Type: Journal    
DOI: 10.1002/(SICI)1099-131X(199903)18:2<95::AID-FOR717>3.0.CO;2-E     Document Type: Article

References (5)

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2. Bell, W. and Hilmer, S., 'The time series approach to estimation for repeated surveys', Survey Methodology, 16 (1990), 195-215.
3. Box, G. E. P. and Jenkins, G. M., Time Series Analysis: Forecasting and Control, San Francisco: Holden-Day, 1976.
4. Brockwell, P. and Davis, R., Time Series: Theory and Methods, New York: Springer-Verlag, 1991.
5. Granger, C. W. J. and Morris, M. J., Time series modelling and interpretation', Journal of the Royal Statistical Society, Series A, 139 (1976), 246-57.