Predictions of Multivariate Autoregressive-moving Average Models

Taku Yamamoto

61 citations0/0 files storedBiometrika

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Forecasting Techniques and Applications Control Systems and Identification Statistical and numerical algorithms

Abstract

A simple formula for multiperiod perdietions of mulativariate autoregressive-moving average models is derived. The formula is explicitly given as a function of suitably defined parameter matrices and an observation vectors, and includes simple models as its special cases. The asymptotic prediction mean squared error is also derived for perdictions with estimated parameters.

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1976Asymptotic Mean Square Prediction Error for an Autoregressive Model with Estimated Coefficients

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