The Geometric Meaning of the Notion of Joint Unpredictability of a Bivariate VAR(1) Stochastic Process
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.
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| Format: | Article |
| Language: | English |
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MDPI AG
2013-11-01
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| Series: | Econometrics |
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| Online Access: | http://www.mdpi.com/2225-1146/1/3/207 |