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The Geometric Meaning of the Notion of Joint Unpredictability of a Bivariate VAR(1) Stochastic Process

Author(s): Umberto Triacca

Journal: Econometrics
ISSN 2225-1146

Volume: 1;
Issue: 3;
Start page: 207;
Date: 2013;
Original page

Keywords: Hilbert spaces | predictability | 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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