Cumulated prediction errors of multivariate time series models

DOI10.1515/ROSE.1996.4.2.111MaRDI QIDQ4889495zbMATH OpenOpenAlexFDO

Authors André Klein, Jan G. De Gooijer

Publication date 9 January 1997

Published in Random Operators and Stochastic Equations (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/rose.1996.4.2.111

zbMATH Keywords

covariance matrixcumulated multi-step-ahead prediction errorscumulated statesKalman filtermultistep-ahead predictionsmultivariate linear state-space modelvector ARMA process

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20)

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(5)

• Accumulative prediction error and the selection of time series models
• Time and lag recursive computation of cumulants from a state-space model
• scientific article; zbMATH DE number 1489876 (Why is no real title available?)
• Estimation error for blind Gaussian time series prediction
• Prediction mean square error for non-stationary multivariate time series using estimated parameters

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