Prediction of multivariate time series by autoregressive model fitting
type: Item
instance of: scholarly article
title: Prediction of multivariate time series by autoregressive model fitting
zbMATH Open document ID: 0579.62085
DOI: 10.1016/0047-259X(85)90027-2
author: Gregory C. Reinsel
author: Richard A. Lewis
published in: Journal of Multivariate Analysis
publication date: 1985-01-01T00:00:00Z
review text: In this paper the authors study the prediction errors in time series when the predictors themselves are estimated. In particular, stationary vector series are studied, however, without attention to their structure. In other words, the processes are tacitly assumed to be ''generic''. The main results found earlier for scalar processes, such as the mean square prediction error, are generalized to the studied vector case. I would like to add that to my knowledge the first such basic result in the scalar case was found by \textit{L. D. Davisson}, IEEE Trans. Inf. Theory IT-11, 527-532 (1965; Zbl 0152.175), which the authors appear to be unaware of.
Mathematics Subject Classification ID: 62M20
Mathematics Subject Classification ID: 60G25
zbMATH DE Number: 3928154
zbMATH Keywords: autoregressive model fitting
zbMATH Keywords: multivariate time series
zbMATH Keywords: infinite
zbMATH Keywords: autoregression
zbMATH Keywords: linear prediction
zbMATH Keywords: consistency
zbMATH Keywords: asymptotic
zbMATH Keywords: normality
zbMATH Keywords: time series
zbMATH Keywords: stationary vector series
zbMATH Keywords: mean square prediction error
MaRDI profile type: Publication
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full work available at URL: 0047-259x(85)90027-2
OpenAlex ID: W2074942959
description: scientific article; zbMATH DE number 3928154