PROPERTIES OF PREDICTORS FOR MULTIVARIATE AUTOREGRESSIVE MODELS WITH ESTIMATED PARAMETERS

DOI10.1111/j.1467-9892.1988.tb00477.xzbMath0695.62220OpenAlexW1986204113MaRDI QIDQ3471571

V. A. Samaranayake, David P. Hasza

Publication date: 1988

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1988.tb00477.x

zbMATH Keywords

mean squared errorSimulationspredictorsordinary least squaresvector time seriesconditional meannon-stable casenonstationary rootsexplosive caseco-integrated series

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20)

Related Items (3)

Risk-efficient sequential estimation of multivariate random coefficient autoregressive process ⋮ Sequential estimation of the autoregressive parameters in ar(p) model ⋮ A justification of conditional confidence intervals

Cites Work

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