zbMATH — the first resource for mathematics

The MSE of the BLUP in a finite discrete spectrum LRM. (English) Zbl 1154.62372
Summary: The problems of prediction in finite discrete spectrum linear regression models (FDSLRMs) are studied and an expression for the mean squared error (MSE) of the best linear unbiased predictor (BLUP) is derived. This expression allows to compare these regression models from the point of view of predictions. An example is given where as regressors the goniometric functions are used.

62M20 Inference from stochastic processes and prediction
62J05 Linear regression; mixed models
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)