This paper derives the asymptotic mean square error of multistep prediction for the general vector autoregressive process. For one-step-ahead prediction the result is ...
The class of "general" M-estimators for the stochastic linear regression model is considered, and influence and change-of-variance functions are used to approximate ...
Will Kenton is an expert on the economy and investing laws and regulations. He previously held senior editorial roles at Investopedia and Kapitall Wire and holds a MA in Economics from The New School ...
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