Cumulated prediction errors of multivariate time series models (Q4889495)
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scientific article; zbMATH DE number 916008
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| English | Cumulated prediction errors of multivariate time series models |
scientific article; zbMATH DE number 916008 |
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Cumulated prediction errors of multivariate time series models (English)
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9 January 1997
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multistep-ahead predictions
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covariance matrix
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cumulated multi-step-ahead prediction errors
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multivariate linear state-space model
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Kalman filter
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vector ARMA process
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cumulated states
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0.775905191898346
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0.7693459391593933
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0.7557873725891113
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0.7543643116950989
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