FORECASTING OF MULTIVARIATE PERIODIC AUTOREGRESSIVE MOVING-AVERAGE PROCESSES

DOI10.1111/J.1467-9892.1993.TB00172.XMaRDI QIDQ4272781zbMATH OpenOpenAlexFDO

Authors Taylan A. Ula

Publication date 20 December 1993

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9892.1993.tb00172.x

zbMATH Keywords

conditional expectation approachcovariance matricesforecast errorsminimum mean square error forecastingmultivariate autoregressive moving-average processesPARMA processesperiodic processperiodically varying parametersprediction ellipsoidssimulated exampleupdate equations

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20)

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Cites work

• An approach to modeling seasonally stationary time series
• scientific article; zbMATH DE number 3565994 (Why is no real title available?)
• scientific article; zbMATH DE number 3450376 (Why is no real title available?)
• On periodic and multiple autoregressions

Cited in

(23)

• Forecast modelling for rotations of principal axes of multidimensional data sets.
• Prediction and fundamental moving averages for discrete multidimensional harmonizable processes
• Periodic moving averages of random variables with regularly varying tails
• Innovations algorithm for periodically stationary time series
• Forecasting aggregated vector ARMA processes
• Innovations algorithm asymptotics for periodically stationary time series with heavy tails
• Forecasting with prediction intervals for periodic autoregressive moving average models
• A new frequency domain approach of testing for covariance stationarity and for periodic stationarity in multivariate linear processes
• On modelling and diagnostic checking of vector periodic autoregressive time series models
• Predictive Density Order Selection of Periodic AR Models
• Forecast Functions Implied by Autoregressive Integrated Moving Average Models and Other Related Forecast Procedures
• An efficient algorithm for Harrison-Stevens forecasting using the multi-process multivariate dynamic linear model
• Direct multiperiod forecasting for algorithmic trading
• Some Aspects of Forecasting with Vector Moving Average Processes
• Asymptotic results for Fourier-PARMA time series
• Parsimonious time series modeling for high frequency climate data
• Forecasting with Multivariate Threshold Autoregressive Models
• Measures of cross-dependence for bidimensional periodic AR(1) model with -stable distribution
• The modified Yule-Walker method for multidimensional infinite-variance periodic autoregressive model of order 1
• Estimation and model adequacy checking for multivariate seasonal autoregressive time series models with periodically varying parameters
• Structural periodic vector autoregressions
• Seasonal periodic autoregressive processes with values in Hilbert spaces
• Conditional forecasting with a multivariate time series model

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