Estimation of the Generalized Prediction Error Variance of a Multiple Time Series (Q3128672)
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scientific article; zbMATH DE number 1001332
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| English | Estimation of the Generalized Prediction Error Variance of a Multiple Time Series |
scientific article; zbMATH DE number 1001332 |
Statements
17 April 1997
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asymptotic normality
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equivalent degrees of freedom
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smoothed density estimator
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multivariate stationary time series
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generalized prediction error variance
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Szegö-Kolmogorov formula
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smoothing
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periodogram
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spectral density matrix
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bias-correction
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simulation
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Estimation of the Generalized Prediction Error Variance of a Multiple Time Series (English)
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0.7828662991523743
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0.7543452382087708
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0.7466152310371399
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0.7355054616928101
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