ON CONVERGENCE RATE OF THE PKEDICTION ERROR VARIANCE ESTIMAION FOR STATIONARY TIME SERIES
TV Yangguan · Journal of Shanxi University · 1995
In prediction the fut ure values of a stationary time series on thebasis of its past,two key parameters are the variance of the h-step prediction error v(h),h≥1 and the corresponding measure of the processThis paper proves the strong convergcnce rate of two estimators of v(h) and z(h) suggestedby Bhansali.