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Improvement of extrapolation in multivariate stationary processes. (English) Zbl 0473.62080


MSC:

62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
62M20 Inference from stochastic processes and prediction
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References:

[1] J. Anděl: Measures of dependence in discrete stationary processes. Math. Operationsforsch. Statist., Ser. Statistics 10 (1979), 107-126. · Zbl 0443.62042
[2] J. Anděl: On extrapolation in two-dimensional stationary processes. Math. Operationsforsch. Statist., Ser. Statistics 11 (1980), 315-326. · Zbl 0449.60025
[3] J. Anděl: Some Measures of Dependence in Discrete Stationary Processes. (in Czech). Doctoral dissertation, Dept. of Statistics, Charles University, Prague, 1980.
[4] T. W. Anderson: Repeated measurements on autoregressive processes. JASA 73 (1978), 371-378. · Zbl 0411.62062
[5] T. Cipra: Correlation and Improvement of Prediction in Multivariate Stationary Processes. (in Czech). Ph. D. dissertation, Dept. of Statistics, Charles University, Prague, 1980.
[6] C. W. J. Granger: Investigating causal relations by econometric models and cross spectral methods. Econometrica 37 (1969), 424-438. · Zbl 1366.91115
[7] D. A. Pierce L. D. Haugh: Causality in temporal systems. Journal of Econometrics 5 (1977), 265-293. · Zbl 0355.62077
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