Simulation Study on Variance of Forecast Error for Vector Arima Models

DOI10.1080/03610919008812848zbMath0707.62192OpenAlexW2052686593MaRDI QIDQ3489235

Ken Hung

Publication date: 1990

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

Full work available at URL: https://doi.org/10.1080/03610919008812848

zbMATH Keywords

variance of forecast errorvector ARIMA models

Mathematics Subject Classification ID

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

Uses Software

• LLRANDOM

Cites Work

• Unnamed Item
• Finite sample properties of estimators for autoregressive moving average models
• Gains in efficiency from joint estimation of systems of autoregressive- moving average processes
• Bias of some commonly-used time series estimates
• Asymptotic prediction mean squared error for vector autoregressive models
• Likelihood Function of Stationary Multiple Autoregressive Moving Average Models
• Predictions of multivariate autoregressive-moving average models
• Parsimony and Its Importance in Time Series Forecasting
• Modeling Multiple Times Series with Applications
• The prediction error of stationary Gaussian time series of unknown covariance
• On the error of prediction of a time series
• On the Generation of Normal Random Vectors

This page was built for publication: Simulation Study on Variance of Forecast Error for Vector Arima Models