Adaptive Prediction by Least Squares Predictors in Stochastic Regression Models with Applications to Time Series
Adaptive Prediction by Least Squares Predictors in Stochastic Regression Models with Applications to Time Series
Herein we consider the asymptotic performance of the least squares predictors $\hat{y}_n$ of the stochastic regression model $y_n = \beta_1 x_{n1} + \cdots + \beta_p x_{np} + \varepsilon_n$. In particular, the accumulated cost function $\sum^n_{k=1} (y_k - \hat{y}_k - \varepsilon_k)^2$ is studied. The results are then applied to nonstationary autoregressive …