“Plug-in” Statistical Forecasting of Vector Autoregressive Time Series with Missing Values
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 fo...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Austrian Statistical Society
2016-04-01
|
| Series: | Austrian Journal of Statistics |
| Online Access: | http://www.ajs.or.at/index.php/ajs/article/view/409 |