The geometric meaning of the notion of joint unpredictability of a bivariate VAR(1) stochastic process

This paper investigates, in a particular parametric framework, the geometric meaning of joint unpredictability for a bivariate discrete process. In particular, the paper provides a characterization of the joint unpredictability in terms of distance between information sets in an Hilbert space.

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Year of publication:	2013
Authors:	Triacca, Umberto
Published in:	Econometrics. - Basel : MDPI, ISSN 2225-1146. - Vol. 1.2013, 3, p. 207-216
Publisher:	Basel : MDPI
Subject:	Hilbert spaces \| predictability \| stochastic process

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Type of publication:	Article
Type of publication (narrower categories):	Article
Language:	English
Other identifiers:	10.3390/econometrics1030207 [DOI] 777522152 [GVK] hdl:10419/103631 [Handle]
Classification:	c18 ; C32 - Time-Series Models
Source:	EconStor

Persistent link: https://www.econbiz.de/10010421295