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使用估计参数的多元自回归模型预测误差之渐近性质AI 解读

Summary In this paper we consider the asymptotic properties of the prediction errors for the multivariate autoregressive model when estimated coefficient parameters are used. Formulae for the asymptotic covariance matrix of the prediction errors for arbitrary lead times using estimated parameters are derived.

具有自回归移动平均误差的随机线性差分方程的极大似然估计AI 解读

A method is proposed for the estimation of a general class of scalar linear time series models. The model takes the form of a stochastic difference equation for the dependent variable with exogenous variable inputs, and the disturbances are autocorrelated through an autoregressive moving average process. In the present paper an asymptotically efficient yet computationally simple estimation procedure (in the time domain) is derived for this model. The resulting estimator is…