On Asymptotic Prediction Problems for Autoregressive Models with Explosive and Other Roots

DOI10.1177/0008068319890103MaRDI QIDQ3201455zbMATH OpenOpenAlexFDO

Authors

Publication date 1989

Published in Calcutta Statistical Association Bulletin (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1177/0008068319890103

zbMATH Keywords

explosive rootsmean-square-errorasymptotic predictionk-dimensionalp th order autoregressive process

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)

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• Asymptotic theory of estimation of parameters in autoregressive models under general set-up of the roots
• Propriétés asymptotiques presque sûres de l'estimateur des moindres carrés d'un modèle autorégressif vectoriel. (Almost sure asymptotic properties of the least squares estimators in a vectorial autoregressive model)

Cited in

(7)

• Asymptotic distributions of prediction errors and related tests of fit for nonstationary processes
• On Some Asymptotic Results for Multivariate Autoregressive Models with Estimated Parameters
• Asymptotic theory of estimation of parameters in autoregressive models under general set-up of the roots
• Asymptotics of regressions with stationary and nonstationary residuals.
• On Asymptotic Prediction Problems for Multivariate Autoregressive Models in the Unstable Nonexplosive Case
• Predictor selection for positive autoregressive processes
• Optimal estimating function for estimation and prediction in semi-parametric models

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