Predictions in time Series Using Multivariate Regression Models

Frantisek Stulajter

Journal of Time Series Analysis, 2001, vol. 22, issue 3, 365-373

Abstract: Predictions in time series using multivariate regression models are studied with respect to their mean squared errors. Two new methods of prediction are proposed: the simple one and the method based on the kriging theory. The mean squared errors of these predictions are computed and it is shown that the first one can be regarded as a special case of the kriging approach.

Date: 2001
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