On Some Asymptotic Results for Multivariate Autoregressive Models with Estimated Parameters

DOI10.1177/0008068319860302zbMATH Open0632.62093OpenAlexW2735163965MaRDI QIDQ3769822FDOQ3769822

Authors:

Publication date: 1986

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

Full work available at URL: https://doi.org/10.1177/0008068319860302

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• scientific article; zbMATH DE number 29175

zbMATH Keywords

mean square errortime series modelsasymptotic equivalenceoptimal predictorestimated predictordependent error variablesk-dimensional p th order autoregressive processesstable case

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)

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