PREDICTION ERROR OF MULTIVARIATE TIME SERIES WITH MIS-SPECIFIED MODELS
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ARMA (p,q) processesAsymptotic approximationasymptotic distributionautoregressive modellingautoregressive moving-average modelbest linear predictorh-step-ahead prediction errorleast- squares estimatorlimiting moment propertieslinear processesmean- square error matrixmean-square prediction errormisspecificationp-th order autoregressionseriesstationary multivariate time
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Cites work
- Asymptotic bias of the least squares estimator for multivariate autoregressive models
- Autoregressive model fitting for control
- Effects of not Knowing the Order of an Autoregressive Process on the Mean Squared Error of Prediction-1
- Fitting Time Series Models for Prediction
- Forecasting with Misspecified Models
- scientific article; zbMATH DE number 3335601 (Why is no real title available?)
- scientific article; zbMATH DE number 3357844 (Why is no real title available?)
- Linear prediction by autoregressive model fitting in the time domain
- Modeling Multiple Times Series with Applications
- On the error of prediction of a time series
- On the fitting of multivariate autoregressions, and the approximate canonical factorization of a spectral density matrix
- Prediction of multivariate time series by autoregressive model fitting
- Predictions of multivariate autoregressive-moving average models
- Properties of Predictors in Misspecified Autoregressive Time Series Models
- The Asymptotic Mean Squared Error of Multistep Prediction from the Regression Model with Autoregressive Errors
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(22)- The sampling distributions of the predictor for an autoregressive model under misspecifications
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- AIC, overfitting principles, and the boundedness of moments of inverse matrices for vector autotregressions and related models.
- Model misspecification tests, model building and predictability in complex systems
- Evaluating panel data forecasts under independent realization
- Computing the mean square error of unobserved components extracted by misspecified time series models
- Accumulative prediction error and the selection of time series models
- VAR forecasting under misspecification
- scientific article; zbMATH DE number 3886930 (Why is no real title available?)
- Bias approximations for covariance parameter estimators in the linear model with ar(1) errors
- Properties of Predictors in Misspecified Autoregressive Time Series Models
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- Cumulated prediction errors of multivariate time series models
- A note on properties of spatial yule-walker estimators
- On maximum likelihood estimation of parameters in incorrectly specified models of covariance for spatial data
- Detection of malfunctions in sensor networks
- Estimation error for blind Gaussian time series prediction
- An LM Test for the Conditional Independence between Regressors and Factor Loadings in Panel Data Models with Interactive Effects
- Negative moment bounds for sample autocovariance matrices of stationary processes driven by conditional heteroscedastic errors and their applications
- Prediction mean square error for non-stationary multivariate time series using estimated parameters
- Generalized Levinson-Durbin sequences, binomial coefficients and autoregressive estimation
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