PROPERTIES OF PREDICTORS FOR MULTIVARIATE AUTOREGRESSIVE MODELS WITH ESTIMATED PARAMETERS

DOI10.1111/J.1467-9892.1988.TB00477.XzbMATH Open0695.62220OpenAlexW1986204113MaRDI QIDQ3471571FDOQ3471571

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

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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)

Cites Work

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• Properties of Predictors for Autoregressive Time Series
• Predictions of multivariate autoregressive-moving average models
• On the error of prediction of a time series
• The sampling distribution of forecasts from a first-order autoregression
• On laws of the iterated logarithm for local times
• Effects of not Knowing the Order of an Autoregressive Process on the Mean Squared Error of Prediction-1
• Predictors for the first-order autoregressive process
• The Asymptotic Distribution of Forecasts in the Dynamic Simulation of an Econometric Model
• THE CONVERGENCE OF AUTOCORRELATIONS AND AUTOREGRESSIONS1
• The prediction error of stationary Gaussian time series of unknown covariance
• An iterated logarithm result for martingales and its application in estimation theory for autoregressive processes

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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