Cumulated prediction errors of multivariate time series models
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Publication:4889495
DOI10.1515/rose.1996.4.2.111zbMath0853.62074MaRDI QIDQ4889495
Jan G. De Gooijer, Andre Klein
Publication date: 9 January 1997
Published in: Random Operators and Stochastic Equations (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1515/rose.1996.4.2.111
covariance matrix; Kalman filter; vector ARMA process; multistep-ahead predictions; cumulated multi-step-ahead prediction errors; cumulated states; multivariate linear state-space model
62M20: Inference from stochastic processes and prediction