Cumulated prediction errors of multivariate time series models (Q4889495)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 916008
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Cumulated prediction errors of multivariate time series models |
scientific article; zbMATH DE number 916008 |
Statements
Cumulated prediction errors of multivariate time series models (English)
0 references
9 January 1997
0 references
multistep-ahead predictions
0 references
covariance matrix
0 references
cumulated multi-step-ahead prediction errors
0 references
multivariate linear state-space model
0 references
Kalman filter
0 references
vector ARMA process
0 references
cumulated states
0 references
0.775905191898346
0 references
0.7693459391593933
0 references
0.7557873725891113
0 references
0.7543643116950989
0 references
