Robustness of maximum likelihood estimates for multi-step predictions: The exponential smoothing case

George C. Tiao, Daming Xu

Type: Article

Publication Date: 1993-01-01

Citations: 75

DOI: https://doi.org/10.1093/biomet/80.3.623

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Biometrika - View

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Works Cited by This (8)

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+	Asymptotic normality for sums of dependent random variables	1972	A Dvoretzky
+	Testing the adequacy of a time series model	1979	L. G. Godfrey
+ PDF Chat	Asymptotic properties of least-squares estimates of parameters of the spectrum of a stationary non-deterministic time-series	1964	A. M. Walker
+	Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models	1970	George E. P. Box David A. Pierce
+ PDF Chat	Asymptotically Efficient Selection of the Order of the Model for Estimating Parameters of a Linear Process	1980	Ritei Shibata
+	Diagnostic testing of univariate time series models	1986	Greta M. Ljung
+ PDF Chat	Time Series: Theory and Methods	1992	Eric R. Ziegel Peter J. Brockwell Richard A. Davis
+	Model Selection for Multi-Step-Ahead Forecasting	1985	David F. Findley