| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1149689 | Journal of Statistical Planning and Inference | 2009 | 8 Pages |
Abstract
This paper is devoted to asymptotic behaviour of plug-in statistical predictors obtained by replacing the unknown parameter in a conditional expectation by a suitable estimator. We derive the L2-convergence rate and limit in distribution for the predictors. Applications to ARMA processes and diffusion processes are considered.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Denis Bosq,