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 … analytical solution is unfeasible and, therefore, simulation or numerical methods are required in computing forecasts. It turns … out that different special cases of the model call for different simulation procedures. Monte Carlo simulations …