Cumulated prediction errors of multivariate time series models

DOI10.1515/ROSE.1996.4.2.111zbMATH Open0853.62074OpenAlexW2065894335MaRDI QIDQ4889495FDOQ4889495

Authors: André Klein, Jan G. De Gooijer 

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

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zbMATH Keywords

Kalman filtercovariance matrixvector ARMA processmultistep-ahead predictionscumulated multi-step-ahead prediction errorscumulated statesmultivariate linear state-space model

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20)

Cited In (5)

• Time and lag recursive computation of cumulants from a state-space model
• Estimation error for blind Gaussian time series prediction
• Title not available (Why is that?)
• Prediction mean square error for non-stationary multivariate time series using estimated parameters
• Accumulative prediction error and the selection of time series models

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