Plug-in Statistical Forecasting of Vector Autoregressive Time Series with Missing Values

被引：0
|
作者：
Kharin, Yuriy [1 ]
Huryn, Aliaksandr [1 ]
机构：
[1] Belarusian State Univ, Minsk, BELARUS
来源：
AUSTRIAN JOURNAL OF STATISTICS | 2005年 / 34卷 / 02期
关键词：
Forecasting; Vector Autoregression; Missing Values; Estimators of Parameters;
D O I：
暂无
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
The problems of statistical forecasting of vector autoregressive time series with missing values are considered. The maximum likelihood forecast is constructed and its mean square risk is evaluated for the case of known parameters. The "plug-in" forecast and statistical estimators are constructed for unknown parameters. Asymptotic properties of constructed estimators are analyzed. Results of numerical experiments are presented.
引用
收藏
页码：163 / 174
页数：12
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