✦ LIBER ✦
Finite sample forecast results for vector autoregressive moving average models
✍ Scribed by Gregory C. Reinsel
- Publisher
- John Wiley and Sons
- Year
- 1995
- Tongue
- English
- Weight
- 480 KB
- Volume
- 14
- Category
- Article
- ISSN
- 0277-6693
No coin nor oath required. For personal study only.
✦ Synopsis
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.