The approximation of the one-step ahead forecast error covariance for vector ARMA models

The approximation of the one-step ahead forecast error covariance for vector ARMA models

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Article ID: iaor19942534
Country: Netherlands
Volume: 10
Issue: 1
Start Page Number: 59
End Page Number: 64
Publication Date: Mar 1994
Journal: International Journal of Forecasting
Authors: ,
Abstract:

A vector case parallel to that described by Ledolter and Abraham is extended for an approximation of one-step ahead forecast error covariance for vector ARMA models.

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