Prediction of multivariate time series by autoregressive model fitting

Statistical predictor identification

1970 • 1,222 citations

Statistical Predictor Identification

1998 • 1,221 citations

Consistent Autoregressive Spectral Estimates

1974 • 598 citations

The prediction theory of multivariate stochastic processes: I. The regularity condition

1957 • 591 citations

Asymptotically Efficient Selection of the Order of the Model for Estimating Parameters of a Linear Process

1980 • 563 citations

Power spectrum estimation through autoregressive model fitting

1969 • 390 citations

On Stochastic Limit and Order Relationships

1943 • 388 citations

Some recent advances in time series modeling

1974 • 348 citations

Autoregressive model fitting for control

1971 • 333 citations

Autoregressive Model Fitting for Control

1998 • 326 citations

The prediction theory of multivariate stochastic processes, II: The linear predictor

1958 • 266 citations

Central limit theorems for martingales and for processes with stationary increments using a Skorokhod representation approach

1973 • 166 citations

Properties of Predictors for Autoregressive Time Series

1981 • 135 citations

Asymptotic Mean Square Prediction Error for an Autoregressive Model with Estimated Coefficients

1976 • 107 citations

Linear Prediction by Autoregressive Model Fitting in the Time Domain

1978 • 95 citations

The Asymptotic Distribution of Forecasts in the Dynamic Simulation of an Econometric Model

1974 • 88 citations

Predictions of multivariate autoregressive-moving average models

1981 • 58 citations

Asymptotic prediction mean squared error for vector autoregressive models

1979 • 52 citations

On the error of prediction of a time series

1972 • 45 citations

Asymptotic Properties of Prediction Errors for the Multivariate Autoregressive Model Using Estimated Parameters

1980 • 41 citations

CONVERGENCE OF LEAST SQUARES ESTIMATES OF AUTOREGRESSIVE PARAMETERS1

1977 • 20 citations