Search Results - subject:"Prediction error"

An examination of the forward prediction error of US dollar exchange rates and how they are related to bid-ask spreads, purchasing power parity disequilibria, and forward premium a...

Simpson, Marc W.; Grossmann, Axel - In: The North American journal of economics and finance : a … 28 (2014), pp. 221-238

Persistent link: https://www.econbiz.de/10010461953

Does the Box–Cox transformation help in forecasting macroeconomic time series?

Proietti, Tommaso; Lütkepohl, Helmut - In: International Journal of Forecasting 29 (2013) 1, pp. 88-99

the prediction error variance, and also conduct an extensive recursive forecast experiment on a large set of seasonal …

Persistent link: https://www.econbiz.de/10011051476

On the optimal designs for the prediction of Ornstein–Uhlenbeck sheets

Baran, Sándor; Sikolya, Kinga; Stehlík, Milan - In: Statistics & Probability Letters 83 (2013) 6, pp. 1580-1587

on a monotonic set with respect to the integrated mean square prediction error criterion and the entropy criterion. We … sheets. In particular, we show that the optimal prediction based on the integrated mean square prediction error does not …

Persistent link: https://www.econbiz.de/10011040055

Model selection for integrated autoregressive processes of infinite order

Ing, Ching-Kang; Sin, Chor-yiu; Yu, Shu-Hui - In: Journal of Multivariate Analysis 106 (2012) C, pp. 57-71

We show that Akaike’s Information Criterion (AIC) and its variants are asymptotically efficient in integrated autoregressive processes of infinite order (AR(∞)). This result, together with its stationary counterpart established previously in the literature, ensures that AIC can ultimately...

Persistent link: https://www.econbiz.de/10011042035

Identifying the determinants of foreign direct investment: a data-specific model selection approach

Reschenhofer, Erhard; Schilde, Michael; Oberecker, Eva; … - In: Statistical Papers 53 (2012) 3, pp. 739-752

Persistent link: https://www.econbiz.de/10010558287

Small area estimation using survey weights under a nested error linear regression model with structural measurement error

Torabi, Mahmoud - In: Journal of Multivariate Analysis 109 (2012) C, pp. 52-60

the mean squared prediction error (MSPE) of the PEB predictor. Finally, we report the results of a simulation study on the …

Persistent link: https://www.econbiz.de/10010572295

The predictability of Asian stock returns

Lee, Keun-yeong - In: Korea and the world economy 13 (2012) 2, pp. 215-247

Persistent link: https://www.econbiz.de/10009708357

No unbiased Estimator of the Variance of K-Fold Cross-Validation

Bengio, Yoshua; Grandvalet, Yves - Centre Interuniversitaire de Recherche en Analyse des … - 2003

In statistical machine learning, the standard measure of accuracy for models is the prediction error, i.e. the expected … as K-fold cross-validation can be used to obtain an unbiased estimator of prediction error. However, to compare learning …

Persistent link: https://www.econbiz.de/10005417557

Estimating the Timing of the Economical Replacement of Water Mains Based on the Predicted Pipe Break Times Using the Proportional Hazards Models

Park, Suwan - In: Water Resources Management 25 (2011) 10, pp. 2509-2524

Deteriorated water mains fail frequently causing service disruption and other inconvenience to the customers. Therefore, the utilities must conduct repair, rehabilitation and/or replacement in a timely manner to satisfy the needs of the customers. To succeed in this process the utilities must...

Persistent link: https://www.econbiz.de/10010794284

Prediction error criterion for selecting variables in a linear regression model

Fujikoshi, Yasunori; Kan, Tamio; Takahashi, Shin; … - In: Annals of the Institute of Statistical Mathematics 63 (2011) 2, pp. 387-403

Persistent link: https://www.econbiz.de/10008925542