JOURNAL ARTICLE
Predictions of multivariate autoregressive-moving average models
Year: 1981 Journal: Biometrika Vol: 68 (2)Pages: 485-492 Publisher: Oxford University Press
Abstract
A simple formula for multiperiod perdietions of mulativariate autoregressive-moving average models is derived. The formula is explicitly given as a function of suitably defined parameter matrices and an observation vectors, and includes simple models as its special cases. The asymptotic prediction mean squared error is also derived for perdictions with estimated parameters.
Keywords:
Mathematics Autoregressive model Autoregressive–moving-average model Simple (philosophy) Multivariate statistics Applied mathematics Moving average STAR model Mean squared error Statistics Moving-average model Autoregressive integrated moving average Time series
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59
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2.24
FWCI (Field Weighted Citation Impact)
9
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0.88
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Topics
Statistical Methods and Bayesian Inference
Physical Sciences → Mathematics → Statistics and Probability
Statistical Methods and Inference
Physical Sciences → Mathematics → Statistics and Probability
Advanced Statistical Methods and Models
Physical Sciences → Mathematics → Statistics and Probability
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