Price forecasting with state-space models of nonstationary time series: Case of the Japanese salmon market

DOI10.1016/0898-1221(94)90075-2zbMATH Open0796.62110OpenAlexW2024903527MaRDI QIDQ1324342FDOQ1324342

Authors: V. Pereyra 

Publication date: 11 October 1994

Published in: Computers & Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0898-1221(94)90075-2

zbMATH Keywords

least squares solutionregression equationerror correction representationcointegration representationdeterministic nonstationaritiesestimation of covariance model parametersimpulse response modelinnovations modelKung-Vaccaro methodnonstationary vector-valued times seriesshort term forecastsstochastic nonstationaritiestwo-step state-space procedure

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84) Microeconomic theory (price theory and economic markets) (91B24)

Cites Work

• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Fast projection methods for minimal design problems in linear system theory
• Title not available (Why is that?)
• A solution to the positivity problem in the state-space approach to modeling vector-valued time series

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