ASYMPTOTIC MEAN SQUARE PREDICTION ERROR FOR A MULTIVARIATE AUTOREGRESSIVE MODEL WITH RANDOM COEFFICIENTS

DOI10.1111/J.1467-9892.1988.TB00454.XzbMath0635.62092OpenAlexW2083647401MaRDI QIDQ3774780

No author found.

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.tb00454.x

zbMATH Keywords

predictionrandom coefficientsasymptotic mean square errorp-variate autoregressive model

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20)

Cites Work

• On the Autoregressive Model with Random Coefficients
• Some Theorems on Matrix Differentiation with Special Reference to Kronecker Matrix Products

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