Approximate predictive pivots for autoregressive processes

DOI10.1016/J.SPL.2008.03.010MaRDI QIDQ952858zbMATH OpenOpenAlexFDO

Authors José Manuel Corcuera

Publication date 14 November 2008

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2008.03.010

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)

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Cites work

• scientific article; zbMATH DE number 735225 (Why is no real title available?)
• Prediction and asymptotics

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(3)

• The asymptotic efficiency of improved prediction intervals
• Approximate predictor and filter for partially observed vector ARMA processes
• Improved multivariate prediction regions for Markov process models

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