Lewis, Richard; Reinsel, Gregory C. - In: Journal of Multivariate Analysis 16 (1985) 3, pp. 393-411
Suppose the stationary r-dimensional multivariate time series {yt} is generated by an infinite autoregression. For lead times h=1, the linear prediction of yt+h based on yt, yt-1,... is considered using an autoregressive model of finite order k fitted to a realization of length T. Assuming that...