淡江大學機構典藏:Item 987654321/77746
English  |  正體中文  |  简体中文  |  全文笔数/总笔数 : 56831/90538 (63%)
造访人次 : 12258493      在线人数 : 57
RC Version 7.0 © Powered By DSPACE, MIT. Enhanced by NTU Library & TKU Library IR team.
搜寻范围 查询小技巧:
  • 您可在西文检索词汇前后加上"双引号",以获取较精准的检索结果
  • 若欲以作者姓名搜寻,建议至进阶搜寻限定作者字段,可获得较完整数据
  • 进阶搜寻


    jsp.display-item.identifier=請使用永久網址來引用或連結此文件: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/77746


    题名: A note on mean squared prediction error under the unit root model with deterministic trend
    作者: Yu, Shu-hui;Lin, Chien-chih;Cheng, Hung-wen
    贡献者: 淡江大學財務金融學系
    关键词: Deterministic time trend;Fisher information matrix;mean squared prediction error;unit root
    日期: 2012-03
    上传时间: 2012-07-17 19:44:44 (UTC+8)
    出版者: England: John Wiley & Sons Ltd
    摘要: Assume that observations are generated from the first-order autoregressive (AR) model with linear time trend and the unknown model coefficients are estimated by least squares. This article develops an asymptotic expression for the mean squared prediction error (MSPE) of the least squares predictor in the presence of a unit root. As a by-product, we also obtain a connection between the MSPE and the growth rate of the Fisher information. The key technical tool used to derive these results is the negative moment bound for the minimum eigenvalue of the normalized Fisher information matrix.
    關聯: Journal of Time Series Analysis 33(2), pp.276-286
    DOI: 10.1111/j.1467-9892.2011.00757.x
    显示于类别:[財務金融學系暨研究所] 期刊論文

    文件中的档案:

    档案 描述 大小格式浏览次数
    A note on mean squared prediction error under the unit root model with deterministic trend.pdf729KbAdobe PDF0检视/开启
    index.html0KbHTML20检视/开启
    journal of time series analysis.pdf321KbAdobe PDF242检视/开启

    在機構典藏中所有的数据项都受到原著作权保护.

    TAIR相关文章

    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library & TKU Library IR teams. Copyright ©   - 回馈