PROPERTIES OF PREDICTORS FOR MULTIVARIATE AUTOREGRESSIVE MODELS WITH ESTIMATED PARAMETERS

DOI10.1111/J.1467-9892.1988.TB00477.XMaRDI QIDQ3471571zbMATH OpenOpenAlexFDO

Authors V. A. Samaranayake, David P. Hasza

Publication date 1988

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9892.1988.tb00477.x

zbMATH Keywords

ordinary least squaresmean squared errorSimulationspredictorsconditional meanvector time seriesnon-stable casenonstationary rootsexplosive caseco-integrated series

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20)

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Cites work

• scientific article; zbMATH DE number 4047369 (Why is no real title available?)
• scientific article; zbMATH DE number 3550005 (Why is no real title available?)
• scientific article; zbMATH DE number 3565994 (Why is no real title available?)
• scientific article; zbMATH DE number 3335601 (Why is no real title available?)
• A canonical analysis of multiple time series
• An invariance principle for the law of the iterated logarithm
• An iterated logarithm result for martingales and its application in estimation theory for autoregressive processes
• Asymptotic prediction mean squared error for vector autoregressive models
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Effects of not Knowing the Order of an Autoregressive Process on the Mean Squared Error of Prediction-1
• Establishing the Positive Definiteness of the Sample Covariance Matrix
• On laws of the iterated logarithm for local times
• On the Law of the Iterated Logarithm
• On the error of prediction of a time series
• Predictions of multivariate autoregressive-moving average models
• Predictors for the first-order autoregressive process
• Properties of Predictors for Autoregressive Time Series
• Properties of Predictors in Misspecified Autoregressive Time Series Models
• THE CONVERGENCE OF AUTOCORRELATIONS AND AUTOREGRESSIONS1
• The Asymptotic Distribution of Forecasts in the Dynamic Simulation of an Econometric Model
• The prediction error of stationary Gaussian time series of unknown covariance
• The sampling distribution of forecasts from a first-order autoregression

Cited in

(8)

• Properties of predictors in overdifferenced nearly nonstationary autoregression
• A justification of conditional confidence intervals
• On Some Asymptotic Results for Multivariate Autoregressive Models with Estimated Parameters
• On Asymptotic Prediction Problems for Autoregressive Models with Explosive and Other Roots
• Multi‐variate t Autoregressions: Innovations, Prediction Variances and Exact Likelihood Equations
• Sequential estimation of the autoregressive parameters in ar(p) model
• On Asymptotic Prediction Problems for Multivariate Autoregressive Models in the Unstable Nonexplosive Case
• Risk-efficient sequential estimation of multivariate random coefficient autoregressive process

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