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Predictions in time Series Using Multivariate Regression Models
Author(s) -
Stulajter Frantisek
Publication year - 2001
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/1467-9892.00229
Subject(s) - multivariate statistics , mathematics , series (stratigraphy) , kriging , statistics , mean squared error , regression , regression analysis , time series , mean squared prediction error , bayesian multivariate linear regression , econometrics , geology , paleontology
Predictions in time series using multivariate regression models are studied with respect to their mean squared errors. Two new methods of prediction are proposed: the simple one and the method based on the kriging theory. The mean squared errors of these predictions are computed and it is shown that the first one can be regarded as a special case of the kriging approach.