Prediction mean square error for non-stationary multivariate time series using estimated parameters

DOI10.1016/0165-1765(87)90181-9zbMath1328.62545OpenAlexW2030664020MaRDI QIDQ899964

Gregory C. Reinsel, Richard A. Lewis

Publication date: 1 January 2016

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1765(87)90181-9

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20)

Related Items (3)

Mean square prediction error for long-memory processes ⋮ On robust forecasting in dynamic vector time series models ⋮ Asymptotic mean‐squared forecast error when an autoregression with linear trend is fitted to data generated by an I(0) or I(1) process

Cites Work

• Predictions from ARMAX models
• Asymptotic prediction mean squared error for vector autoregressive models
• Predictions of multivariate autoregressive-moving average models
• Corrigenda: Properties of Predictors for Autoregressive Time Series
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Prediction mean square error for non-stationary multivariate time series using estimated parameters