Predictive inference for linear and multivariate linear models with MA(1) error processes
Article
Haq, MS, Golam Kibria, BM. (1997). Predictive inference for linear and multivariate linear models with MA(1) error processes
. COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 26(2), 331-353. 10.1080/03610929708831919
Haq, MS, Golam Kibria, BM. (1997). Predictive inference for linear and multivariate linear models with MA(1) error processes
. COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 26(2), 331-353. 10.1080/03610929708831919
The prediction distributions of future responses from the linear and multivariate linear models with errors having a first order moving average (MA(1)) process have been derived. First, we obtained the marginal likelihood function for the moving average parameter θ and from this likelihood function we estimate the maximum likelihood estimates (MLE) of θ. Using the estimated value θ̂, we have derived the prediction distributions as well as prediction regions for the future responses. An example has been included.
