Justification of Wold’s Theorem and the Unbiasedness of a Stable Vector Autoregressive Time Series Model Forecasts

  •  Iberedem Iwok    


In this work, the multivariate analogue to the univariate Wold’s theorem for a purely non-deterministic stable vector time series process was presented and justified using the method of undetermined coefficients. By this method, a finite vector autoregressive process of order  [] was represented as an infinite vector moving average () process which was found to be the same as the Wold’s representation. Thus, obtaining the properties of a  process is equivalent to obtaining the properties of an infinite  process. The proof of the unbiasedness of forecasts followed immediately based on the fact that a stable VAR process can be represented as an infinite VEMA process.

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  • ISSN(Print): 1927-7032
  • ISSN(Online): 1927-7040
  • Started: 2012
  • Frequency: bimonthly

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