A note on the distribution of mean square error of forecasting |
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Authors: | Lap-Ming Wun Ken Hung |
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Institution: | 1. Statistical Design Branch , U.S. Postal Service , Washington, D. C, 20260475 L'Enfant Plaza;2. Department of Accounting and Finance , Morgan State University , Baltimore, M D, 21239475 L'Enfant Plaza |
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Abstract: | Simulation has been a very important and widely used method in the study of misspecification or order determination in time series analysis. Mean square error of forecasting (MSEF) has been a major criterion for comparing the performance of different models. In simulation studies, standard deviations of MSEF's are calculated from the computed values of the MSEF's, In this note, the distribution of MSEF from simulation studies is established. Exact variance of the MSEF can be obtained from the prespecified values of the model selected for simulation. This variance should be a more appropriate criterion for evaluating the performance between models. |
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Keywords: | Mean square error(MSE) mean square error of forecasting(MSEF) arma model chi-square distribution |
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