Simon Fraser University

Preliminary Autoregressive Models

After computing the sample autocovariance matrices, PROC STATESPACE fits a sequence of vector autoregressive models. These preliminary autoregressive models are used to estimate the autoregressive ...
Forbes

Beyond Autoregression: A New Model For Text Generation

Every time a language model like GPT-4, Claude or Mistral generates a sentence, it does something deceptively simple: It picks one word at a time. This word-by-word approach is what gives ...
JSTOR Daily

Asymptotic Prediction Mean Squared Error for Vector Autoregressive Models

This paper derives the asymptotic mean square error of multistep prediction for the general vector autoregressive process. For one-step-ahead prediction the result is ...
JSTOR Daily

A Fast Algorithm for the Exact Likelihood of Stationary and Partially Nonstationary Vector Autoregressive-Moving Average Processes

This is a preview. Log in through your library . Abstract An expression for the likelihood function of a stationary vector autoregressive-moving average process is developed. The expression is very ...
Simon Fraser University

Autoregressive Moving Average Error Processes

A model with first-order autoregressive errors, AR(1), has the form while an AR(2) error process has the form and so forth for higher-order processes. Note that the ...