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

zbMATH Keywords

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

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20)

Related Items (8)

VAR forecasting under misspecification ⋮ A note on properties of spatial yule-walker estimators ⋮ Bias approximations for covariance parameter estimators in the linear model with ar(1) errors ⋮ Detection of malfunctions in sensor networks ⋮ Generalized Levinson-Durbin sequences, binomial coefficients and autoregressive estimation ⋮ On maximum likelihood estimation of parameters in incorrectly specified models of covariance for spatial data ⋮ Evaluating panel data forecasts under independent realization ⋮ AIC, overfitting principles, and the boundedness of moments of inverse matrices for vector autotregressions and related models.

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