Estimation of the Generalized Prediction Error Variance of a Multiple Time Series

DOI10.2307/2291407zbMath0871.62076OpenAlexW4231129402MaRDI QIDQ3128672

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Publication date: 17 April 1997

Full work available at URL: https://doi.org/10.2307/2291407

zbMATH Keywords

smoothingsimulationasymptotic normalityperiodogrambias-correctionspectral density matrixmultivariate stationary time seriesequivalent degrees of freedomgeneralized prediction error variancesmoothed density estimatorSzegö-Kolmogorov formula

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05)

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