PREDICTION ERROR OF MULTIVARIATE TIME SERIES WITH MIS-SPECIFIED MODELS
DOI10.1111/j.1467-9892.1988.tb00452.xzbMath0671.62098OpenAlexW2076743247MaRDI QIDQ3823698
Gregory C. Reinsel, Richard A. Lewis
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.tb00452.x
asymptotic distributionlinear processesseriesmisspecificationautoregressive modellingbest linear predictorAsymptotic approximationmean-square prediction errorautoregressive moving-average modelleast- squares estimatorARMA (p,q) processesh-step-ahead prediction errorlimiting moment propertiesmean- square error matrixp-th order autoregressionstationary multivariate time
Related Items (8)
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