On perturbation stability of SSA and MSSA forecasts and the supportiveness of time series

DOI10.4310/SII.2017.V10.N1.A4MaRDI QIDQ1748616zbMATH OpenOpenAlexFDO

Authors Maria Vronskaya-Robl, Karl Michael Schmidt

Publication date 14 May 2018

Published in Statistics and Its Interface (Search for Journal in Brave)

Full work available at URL https://doi.org/10.4310/sii.2017.v10.n1.a4

zbMATH Keywords

forecastingmultivariate time series analysisperturbation theorystability analysis

Mathematics Subject Classification ID

Random matrices (algebraic aspects) (15B52) Prediction theory (aspects of stochastic processes) (60G25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

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