Asymptotic Properties of Prediction Errors for the Multivariate Autoregressive Model Using Estimated Parameters
Journal of the Royal Statistical Society Series B (Statistical Methodology)Published 1 July 1980
G. C. Reinsel
Citations45
SJR quartileQ1
SJR score3.31
SNIP2.48
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Abstract
Summary In this paper we consider the asymptotic properties of the prediction errors for the multivariate autoregressive model when estimated coefficient parameters are used. Formulae for the asymptotic covariance matrix of the prediction errors for arbitrary lead times using estimated parameters are derived.
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Engineering
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