Prediction of multivariate time series by autoregressive model fitting
From MaRDI portal
Recommendations
- Prediction mean square error for non-stationary multivariate time series using estimated parameters
- PREDICTION ERROR OF MULTIVARIATE TIME SERIES WITH MIS-SPECIFIED MODELS
- scientific article; zbMATH DE number 1747151
- On Asymptotic Prediction Problems for Multivariate Autoregressive Models in the Unstable Nonexplosive Case
- scientific article; zbMATH DE number 3898069
Cites work
- scientific article; zbMATH DE number 3711230 (Why is no real title available?)
- scientific article; zbMATH DE number 3538576 (Why is no real title available?)
- scientific article; zbMATH DE number 3335601 (Why is no real title available?)
- scientific article; zbMATH DE number 3357844 (Why is no real title available?)
- Approximation Theorems of Mathematical Statistics
- Asymptotic prediction mean squared error for vector autoregressive models
- Asymptotically efficient selection of the order of the model for estimating parameters of a linear process
- Autoregressive model fitting for control
- CONVERGENCE OF LEAST SQUARES ESTIMATES OF AUTOREGRESSIVE PARAMETERS1
- Central limit theorems for martingales and for processes with stationary increments using a Skorokhod representation approach
- Consistent autoregressive spectral estimates
- Corrigenda: Properties of Predictors for Autoregressive Time Series
- Linear prediction by autoregressive model fitting in the time domain
- On Stochastic Limit and Order Relationships
- On the error of prediction of a time series
- Power spectrum estimation through autoregressive model fitting
- Predictions of multivariate autoregressive-moving average models
- Some recent advances in time series modeling
- Statistical predictor identification
- The Asymptotic Distribution of Forecasts in the Dynamic Simulation of an Econometric Model
Cited in
(89)- Non‐parametric short‐ and long‐run Granger causality testing in the frequency domain
- Practical Methods for Modeling Weak VARMA Processes: Identification, Estimation and Specification With a Macroeconomic Application
- Local projections, autocorrelation, and efficiency
- On the numerical evaluation of the theoretical variance‐covariance matrix of least squares estimators for echelon‐form varma models
- Forecasting vector autoregressions with mixed roots in the vicinity of unity
- Projection Pursuit Autoregression in Time Series
- A practical multivariate approach to testing volatility spillover
- Bayesian flexible local projections
- Unit roots in white noise
- Asymptotic Properties of the ISE in Nonparametric Regressions with Serially Correlated Errors
- scientific article; zbMATH DE number 5811283 (Why is no real title available?)
- Linear bootstrap methods for vector autoregressive moving-average models
- Focused information criterion for locally misspecified vector autoregressive models
- On the distribution of the residual cross-correlations of infinite order vector autoregressive series and applications
- Linear prediction of long-range dependent time series
- Forecasting with Multivariate Threshold Autoregressive Models
- The co-integrated vector autoregression with errors-in-variables
- Innovations algorithm asymptotics for periodically stationary time series with heavy tails
- Optimal multistep VAR forecast averaging
- (WHEN) DO LONG AUTOREGRESSIONS ACCOUNT FOR NEGLECTED CHANGES IN PARAMETERS?
- Bounded unit root processes with non-stationary volatility
- Cointegration analysis with state space models
- Panel unit root testing with nonlinear instruments for infinite-order autoregressive processes
- Asymptotically efficient autoregressive model selection for multistep prediction
- CHALLENGES FOR ECONOMETRIC MODEL SELECTION
- NONPARAMETRIC PREDICTION WITH SPATIAL DATA
- Asymptotic and Bootstrap Inference for AR(∞) Processes with Conditional Heteroskedasticity
- Generalized Least Squares Model Averaging
- Semiparametric sieve-type generalized least squares inference
- Covariance matrix estimation and linear process bootstrap for multivariate time series of possibly increasing dimension
- Departure from normality of increasing-dimension martingales
- A non‐parametric test for multi‐variate trend functions
- Monetary policy and long-run systemic risk-taking
- Convergence rates for inverse Toeplitz matrix forms
- High‐dimensional sparse multivariate stochastic volatility models
- Measuring the Advantages of Multivariate vs. Univariate Forecasts
- ESTIMATION OF THE PREDICTION ERROR VARIANCE AND AN R2MEASURE BY AUTOREGRESSIVE MODEL FITTING
- The effects of different choices of order for autoregressive approximation on the Gaussian likelihood estimates for ARMA models
- PREDICTION ERROR OF MULTIVARIATE TIME SERIES WITH MIS-SPECIFIED MODELS
- Testing for Granger causality with mixed frequency data
- Understanding the effect of technology shocks in SVARs with long-run restrictions
- Autoregressive model selection for multistep prediction
- The relation of the CCA subspace method to a balanced reduction of an autoregressive model.
- Graphical Modeling for Multivariate Hawkes Processes with Nonparametric Link Functions
- Kernel-weighted GMM estimators for linear time series models
- Persistence-robust surplus-lag Granger causality testing
- scientific article; zbMATH DE number 4205684 (Why is no real title available?)
- LONG MEMORY TESTING IN THE TIME DOMAIN
- Nonparametric estimation of dynamic panel models with fixed effects
- Asymptotic inference for dynamic panel estimators of infinite order autoregressive processes
- Evaluating panel data forecasts under independent realization
- A Generalized Portmanteau Test For Independence Of Two Infinite-Order Vector Autoregressive Series
- A modified information criterion for cointegration tests based on a VAR approximation
- PROPERTIES OF PREDICTORS FOR MULTIVARIATE AUTOREGRESSIVE MODELS WITH ESTIMATED PARAMETERS
- Autoregressive prediction with rolling mechanism for time series forecasting with small sample size
- Impulse response analysis in infinite order cointegrated vector autoregressive processes
- A Review of Nonparametric Time Series Analysis
- Portmanteau tests for linearity of stationary time series
- Testing cointegration in infinite order vector autoregressive processes
- Sieve-based inference for infinite-variance linear processes
- ESTIMATION OF THE VECTOR MOVING AVERAGE MODEL BY VECTOR AUTOREGRESSION
- ESTIMATING LINEAR DYNAMICAL SYSTEMS USING SUBSPACE METHODS
- AUTOMATIC INFERENCE FOR INFINITE ORDER VECTOR AUTOREGRESSIONS
- ESTIMATION OF THE MOVING-AVERAGE REPRESENTATION OF A STATIONARY PROCESS BY AUTOREGRESSIVE MODEL FITTING
- ESTIMATION OF AUTOREGRESSIVE MOVING-AVERAGE MODELS VIA HIGH-ORDER AUTOREGRESSIVE APPROXIMATIONS
- Forward and reversed time prediction of autoregressive sequences
- (Consistently) testing strict exogeneity against the alternative of predeterminedness in linear time-series models
- Asymptotics for estimation of quantile regressions with truncated infinite-dimensional proc\-ess\-es
- Moving-average representation of autoregressive approximations
- Unit root inference for non-stationary linear processes driven by infinite variance innovations
- Short and long run causality measures: theory and inference
- Parameter Estimation for Periodically Stationary Time Series
- Bootstrapping impulse responses in VAR analyses
- ON SOME AMBIGUITIES ASSOCIATED WITH THE FITTING OF ARMA MODELS TO TIME SERIES
- Inference on a regression model with noised variables and serially correlated errors
- A justification of conditional confidence intervals
- Some facts about the choice of the weighting matrices in Larimore type of subspace algorithms
- Model selection criteria for the leads-and-lags cointegrating regression
- Model averaging based on leave-subject-out cross-validation for vector autoregressions
- DCA-based real-time residual useful life prediction for critical faulty component
- Testing for \(r\) versus \(r-1\) cointegrating vectors
- Uncertain vector autoregressive model with imprecise observations
- VAR forecasting under misspecification
- Testing for unit roots in bounded time series
- scientific article; zbMATH DE number 1747151 (Why is no real title available?)
- Estimation of a multiplicative correlation structure in the large dimensional case
- Adaptive estimation of AR(\(\infty\)) models with time-varying variances
- Modeling of multichannel time series and extrapolation of matrix-valued autocorrelation sequences
- Prediction of long memory processes on same-realisation
This page was built for publication: Prediction of multivariate time series by autoregressive model fitting
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1067337)
