PREDICTION ERROR OF MULTIVARIATE TIME SERIES WITH MIS‐SPECIFIED MODELS

Modeling Multiple Time Series with Applications

1981 • 638 citations

On the fitting of multivariate autoregressions, and the approximate canonical factorization of a spectral density matrix

1963 • 379 citations

Autoregressive Model Fitting for Control

1998 • 326 citations

Prediction of multivariate time series by autoregressive model fitting

1985 • 267 citations

A Central Limit Theorem for Stationary Processes and the Parameter Estimation of Linear Processes

1982 • 165 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

Properties of Predictors in Misspecified Autoregressive Time Series Models

1985 • 78 citations

Effects of Not Knowing the Order of an Autoregressive Process on the Mean Squared Error of Prediction—I

1981 • 74 citations

Predictions of multivariate autoregressive-moving average models

1981 • 58 citations

The Asymptotic Mean Squared Error of Multistep Prediction from the Regression Model with Autoregressive Errors

1979 • 50 citations

On the error of prediction of a time series

1972 • 45 citations

Asymptotic bias of the least squares estimator for multivariate autoregressive models

1984 • 43 citations

Forecasting with Misspecified Models

1980 • 25 citations

Fitting Time Series Models for Prediction

1971 • 18 citations