We propose simple parametric and nonparametric bootstrap methods for estimating the prediction mean square error (PMSE) of state vector predictors that use estimated model parameters. As is well known, substituting the model parameters by their estimates in the theoretical PMSE expression that...

The objective of this paper is to develop default priors when the parameter of interest is the autocorrelation coefficient in normal regression models with first-order autoregressive residuals. Jeffreys' prior as well as reference priors are found. These priors are compared in the light of how...