The Geometric Meaning of the Notion of Joint Unpredictability of a Bivariate VAR(1) Stochastic Process

Umberto Triacca ()

Econometrics, 2013, vol. 1, issue 3, 1-10

Abstract: 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.

Keywords: Hilbert spaces; predictability; stochastic process (search for similar items in EconPapers)
JEL-codes: B23 C C00 C01 C1 C2 C3 C4 C5 C8 (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:gam:jecnmx:v:1:y:2013:i:3:p:207-216:d:30449

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