This paper advances the theory and methodology of signal extraction by introducing asymptotic and finite sample formulas for optimal estimators of signals in nonstationary multivariate time series. Previous literature has considered only univariate or stationary models. However, in current...

A multivariate bullwhip expression for <I>m</I> two-stage supply chains with an order-up-to inventory policy is developed. The demand models under consideration are differenced stationary vector time series with a Wold representation for which general forecasting formulas are available, resulting in a...</i>

We develop some asymptotic theory for applications of block bootstrap resampling schemes to multivariate integrated and cointegrated time series. It is proved that a multivariate, continuous‐path block bootstrap scheme applied to a full rank integrated process succeeds in estimating...