The Geometric Meaning of the Notion of Joint Unpredictability of a Bivariate VAR(1) Stochastic Process
Umberto Triacca · Econometrics · 2013
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.