ASYMPTOTIC MEAN SQUARE PREDICTION ERROR FOR A MULTIVARIATE AUTOREGRESSIVE MODEL WITH RANDOM COEFFICIENTS

DOI10.1111/J.1467-9892.1988.TB00454.XMaRDI QIDQ3774780zbMATH OpenOpenAlexFDO

Authors

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.tb00454.x

zbMATH Keywords

asymptotic mean square errorp-variate autoregressive modelpredictionrandom coefficients

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20)

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Cites work

• On the Autoregressive Model with Random Coefficients
• Some Theorems on Matrix Differentiation with Special Reference to Kronecker Matrix Products

Cited in

(9)

• Asymptotic bias of the least squares estimator for multivariate autoregressive models
• The exact multi-period mean-square forecast error for the first-order autoregressive model
• On Asymptotic Prediction Problems for Multivariate Autoregressive Models in the Unstable Nonexplosive Case
• On Some Asymptotic Results for Multivariate Autoregressive Models with Estimated Parameters
• Asymptotic mean‐squared forecast error when an autoregression with linear trend is fitted to data generated by an I(0) or I(1) process
• Distribution Of Residual Autocovariances And Prediction Mean Square Error Properties The Multivariate Reduce Rank Autoregressive Model
• scientific article; zbMATH DE number 773198 (Why is no real title available?)
• Cumulated prediction errors of multivariate time series models
• Prediction mean square error for non-stationary multivariate time series using estimated parameters

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