Asymptotic prediction mean squared error for vector autoregressive models

DOI10.1093/biomet/66.3.675zbMath0416.62072OpenAlexW2009485183MaRDI QIDQ3206174

Richard T. Baillie

Publication date: 1979

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/biomet/66.3.675

zbMATH Keywords

autoregressive modelmultivariate time seriesregression modelmultistep predictionasymptotic prediction mean squared error

Mathematics Subject Classification ID

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

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