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Finite sample forecast results for vector autoregressive moving average models
Author(s) -
Reinsel Gregory C.
Publication year - 1995
Publication title -
journal of forecasting
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.543
H-Index - 59
eISSN - 1099-131X
pISSN - 0277-6693
DOI - 10.1002/for.3980140407
Subject(s) - autoregressive model , star model , mathematics , sample (material) , forecast error , mean squared error , statistics , standard error , autoregressive–moving average model , econometrics , autoregressive integrated moving average , time series , physics , thermodynamics
Using the 'standard' approach to forecasting in the vector autoregressive moving average model, we establish basic general results on exact finite sample forecasts and their mean squared error matrices. Comparison between the exact and conditional methods of initiating the finite sample forecast calculations is presented, and a few illustrative cases are given.