Nyberg, Henri; Saikkonen, Pentti - In: Computational Statistics & Data Analysis 76 (2014) C, pp. 536-555
Simulation-based forecasting methods for a non-Gaussian noncausal vector autoregressive (VAR) model are proposed. In noncausal autoregressions the assumption of non-Gaussianity is needed for reasons of identifiability. Unlike in conventional causal autoregressions the prediction problem in...