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Econometrics 2013, 1(3), 207-216; doi:10.3390/econometrics1030207
Article

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

Received: 21 August 2013 / Revised: 5 November 2013 / Accepted: 5 November 2013 / Published: 14 November 2013
Download PDF [303 KB, 15 November 2013; original version 14 November 2013]

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 Hilbert spaces; predictability; stochastic process
This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

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Triacca, U. The Geometric Meaning of the Notion of Joint Unpredictability of a Bivariate VAR(1) Stochastic Process. Econometrics 2013, 1, 207-216.

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