The Effect of Misspecification in Vector Autoregressive Moving Average Models on Parameter Estimation and Forecasting

DOI10.1080/03610918908812771zbMath0695.62216OpenAlexW1993724342MaRDI QIDQ3471565

Ken Hung, Frank B. Alt

Publication date: 1989

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918908812771

Mathematics Subject Classification ID

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

Cites Work

• Fitting autoregressive models for prediction
• Parsimony and Its Importance in Time Series Forecasting
• Effects of not Knowing the Order of an Autoregressive Process on the Mean Squared Error of Prediction-1
• Modeling Multiple Times Series with Applications

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