Prediction mean squared error for state space models with estimated parameters

Optimal Filtering

1982 • 3,342 citations

Multiple time series

1970 • 1,885 citations

Maximum Likelihood Fitting of ARMA Models to Time Series With Missing Observations

1980 • 572 citations

Evaluation of likelihood functions for Gaussian signals

1965 • 549 citations

Estimating Missing Observations in Economic Time Series

1984 • 318 citations

The Signal Extraction Approach to Nonlinear Regression and Spline Smoothing

1983 • 276 citations

Properties of Predictors for Autoregressive Time Series

1981 • 135 citations

The sampling distribution of forecasts from a first-order autoregression

1979 • 110 citations

Predictions of multivariate autoregressive-moving average models

1981 • 58 citations

Asymptotic prediction mean squared error for vector autoregressive models

1979 • 52 citations

Efficient estimation and prediction in time series regression models

1985 • 49 citations

On the error of prediction of a time series

1972 • 45 citations

Predictions from ARMAX models

1980 • 43 citations

On the Bias in Estimates of Forecast Mean Squared Error

1981 • 18 citations