Predictions from ARMAX models

DOI10.1016/0304-4076(80)90062-7zbMath0424.62068MaRDI QIDQ1135077

Richard T. Baillie

Publication date: 1980

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(80)90062-7

zbMATH Keywords

regression model; minimum mean squared error predictor; single equation ARMAX model, maximum likelihood estimates

Mathematics Subject Classification ID

62M20: Inference from stochastic processes and prediction

60G25: Prediction theory (aspects of stochastic processes)

Related Items

On robust forecasting in dynamic vector time series models, A note on asymptotic parametric prediction, Prediction in dynamic models with time-dependent conditional variances, Aggregation of space-time processes., Optimized regression models for time series, Prediction from the regression model with two-way error components, Measuring the Advantages of Multivariate vs. Univariate Forecasts

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