Simulation Study on Variance of Forecast Error for Vector Arima Models
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Publication:3489235
DOI10.1080/03610919008812848zbMath0707.62192MaRDI QIDQ3489235
Publication date: 1990
Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610919008812848
62M20: Inference from stochastic processes and prediction
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
Uses Software
Cites Work
- Finite sample properties of estimators for autoregressive moving average models
- Gains in efficiency from joint estimation of systems of autoregressive- moving average processes
- Bias of some commonly-used time series estimates
- Asymptotic prediction mean squared error for vector autoregressive models
- Likelihood Function of Stationary Multiple Autoregressive Moving Average Models
- Predictions of multivariate autoregressive-moving average models
- Parsimony and Its Importance in Time Series Forecasting
- Modeling Multiple Times Series with Applications
- The prediction error of stationary Gaussian time series of unknown covariance
- On the error of prediction of a time series
- On the Generation of Normal Random Vectors
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