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ASYMPTOTIC MEAN SQUARE PREDICTION ERROR FOR A MULTIVARIATE AUTOREGRESSIVE MODEL WITH RANDOM COEFFICIENTS
Author(s) -
Ray D.
Publication year - 1988
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/j.1467-9892.1988.tb00454.x
Subject(s) - mathematics , autoregressive model , mean squared error , multivariate statistics , statistics , random variate , star model , mean squared prediction error , mean square , autoregressive integrated moving average , random variable , time series
In this paper, an expression for the asymptotic mean square error in predicting more than one step ahead from a p ‐variate autoregressive model with random coefficients is derived. Two cases are investigated: (i) when the parameters are known, and (ii) when the parameters are estimated.