On perturbation stability of SSA and MSSA forecasts and the supportiveness of time series

DOI10.4310/SII.2017.v10.n1.a4zbMath1388.62271OpenAlexW2175868301MaRDI QIDQ1748616

Karl Michael Schmidt, Maria Vronskaya-Robl

Publication date: 14 May 2018

Published in: Statistics and Its Interface (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4310/sii.2017.v10.n1.a4

zbMATH Keywords

stability analysisperturbation theoryforecastingmultivariate time series analysis

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Random matrices (algebraic aspects) (15B52) Prediction theory (aspects of stochastic processes) (60G25)

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