PREDICTION ERROR OF MULTIVARIATE TIME SERIES WITH MIS-SPECIFIED MODELS (Q3823698)
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scientific article; zbMATH DE number 4098577
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| English | PREDICTION ERROR OF MULTIVARIATE TIME SERIES WITH MIS-SPECIFIED MODELS |
scientific article; zbMATH DE number 4098577 |
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PREDICTION ERROR OF MULTIVARIATE TIME SERIES WITH MIS-SPECIFIED MODELS (English)
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1988
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autoregressive moving-average model
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stationary multivariate time
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series
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asymptotic distribution
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limiting moment properties
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least- squares estimator
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autoregressive modelling
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misspecification
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linear processes
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ARMA (p,q) processes
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h-step-ahead prediction error
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mean- square error matrix
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best linear predictor
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Asymptotic approximation
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mean-square prediction error
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p-th order autoregression
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0.8420650362968445
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0.8062203526496887
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0.7934447526931763
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0.7911962866783142
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