Differential geometrical structures related to forecasting error variance ratios

DOI10.1007/BF00121643zbMath0760.62088OpenAlexW2110011732MaRDI QIDQ1206617

Daming Xu

Publication date: 1 April 1993

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf00121643

zbMATH Keywords

Riemannian metricsdivergencesspectral density functionsAR(1) approximationsexponential smoothing of ARMA seriesmanifold of stochastic linear systemsmulti-step forecasting error variance ratiosnonstationary casespairs of dual affine connectionsyokes

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Local differential geometry (53B99)

Related Items (1)

Informative fractal dimension associated with nonmetricity in information geometry

Cites Work

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• Second order efficiency of minimum contrast estimators in a curved exponential family
• The geometry of asymptotic inference. With comments and a rejoinder by the author
• Differential-geometrical methods in statistics
• The Role of Differential Geometry in Statistical Theory
• Differential geometry of a parametric family of invertible linear systems—Riemannian metric, dual affine connections, and divergence

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