Forecasting aggregated vector ARMA processes
From MaRDI portal
Publication:2198127
DOI10.1007/978-3-642-61584-9zbMath1440.62001OpenAlexW1984715219MaRDI QIDQ2198127
Publication date: 9 September 2020
Published in: Lecture Notes in Economics and Mathematical Systems (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-642-61584-9
Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Research exposition (monographs, survey articles) pertaining to statistics (62-02)
Related Items (16)
Temporal aggregation and systematic sampling for INGARCH processes ⋮ Asymptotic distributions for quasi-efficient estimators in echelon VARMA models ⋮ Temporal aggregation of multivariate GARCH processes ⋮ The use of aggregate time series for testing conditional heteroscedasticity ⋮ Asymptotic behavior of temporal aggregates in the frequency domain ⋮ Aggregation of space-time processes. ⋮ Two stage least squares estimation in structural cointegration models ⋮ Macroeconomics and the reality of mixed frequency data ⋮ Aggregation in large dynamic panels ⋮ Testing for Granger causality with mixed frequency data ⋮ Estimation of fractional integration under temporal aggregation ⋮ Exact Discrete Representations of Linear Continuous Time Models with Mixed Frequency Data ⋮ Aggregation and systematic sampling of periodic ARMA processes ⋮ Prediction of temporally aggregated systems involving both stock and flow variables ⋮ Temporal disaggregation of stationary bivariate time series ⋮ Multistep ahead forecasting of vector time series
This page was built for publication: Forecasting aggregated vector ARMA processes