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Asymptotic Mean Square Prediction Error For A Multivariate Autoregressive Model With Random Coefficients

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  • D. Ray

Abstract

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.

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  • D. Ray, 1988. "Asymptotic Mean Square Prediction Error For A Multivariate Autoregressive Model With Random Coefficients," Journal of Time Series Analysis, Wiley Blackwell, vol. 9(1), pages 73-80, January.
    • Handle: RePEc:bla:jtsera:v:9:y:1988:i:1:p:73-80
    DOI: 10.1111/j.1467-9892.1988.tb00454.x
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