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Simulation Study on Variance of Forecast Error for Vector Arima Models

 

作者: Ken Hung,  

 

期刊: Communications in Statistics - Simulation and Computation  （Taylor Available online 1990）
卷期: Volume 19, issue 1  

页码: 125-144

 

ISSN:0361-0918

 

年代: 1990

 

DOI:10.1080/03610919008812848

 

出版商: Marcel Dekker, Inc.

 

关键词: Vector ARIMA Models;Variance of Forecast Error

 

数据来源: Taylor

 

摘要:

A simulation study has been conducted to lend credible support for the vector extension of Ledolter and Abraham’s (1981) univariate derivation of forecast error variance for ARIMA models.

 

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