Prediction of multivariate time series by autoregressive model fitting

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Publication:1067337

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DOI10.1016/0047-259X(85)90027-2zbMath0579.62085OpenAlexW2074942959MaRDI QIDQ1067337

Gregory C. Reinsel, Richard A. Lewis

Publication date: 1985

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0047-259x(85)90027-2

zbMATH Keywords

consistency normality time series asymptotic linear prediction autoregression multivariate time series infinite autoregressive model fitting mean square prediction error stationary vector series

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Prediction theory (aspects of stochastic processes) (60G25)

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