Improved multivariate prediction regions for Markov process models

DOI10.1007/S10260-016-0362-YMaRDI QIDQ518878zbMATH OpenOpenAlexFDO

Authors Paolo Vidoni

Publication date 30 March 2017

Published in Statistical Methods and Applications (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/11390/1100394

zbMATH Keywords

time seriesautoregressive modelcoverage probabilityestimative prediction limitssimultaneous prediction limits

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation in multivariate analysis (62H12) Inference from stochastic processes and prediction (62M20)

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Cites work

• scientific article; zbMATH DE number 3141625 (Why is no real title available?)
• A simple procedure for computing improved prediction intervals for autoregressive models
• Adjusting estimative prediction limits
• Approximate predictive pivots for autoregressive processes
• Bootstrap Joint Prediction Regions
• Calibrated multivariate distributions for improved conditional prediction
• Calibrating Prediction Regions
• ECM-based maximum likelihood inference for multivariate linear mixed models with autoregressive errors
• Frequentist prediction intervals and predictive distributions
• Improved Prediction Limits For AR(p) and ARCH(p) Processes
• Improved prediction intervals for stochastic process models
• Individual prediction regions for multivariate longitudinal data with small samples
• Miscellanea. A note on modified estimative prediction limits and distributions
• Multivariate prediction
• On prediction intervals based on predictive likelihood or bootstrap methods
• On the Generalization of the Likelihood Function and the Likelihood Principle
• Prediction and asymptotics
• The Relevance Property For Prediction Intervals
• The adjustment of prediction intervals to account for errors in parameter estimation
• Theory & Methods: An Efficient Simulation Method for the Computation of a Class of Conditional Expectations

Cited in

(6)

• Bootstrap prediction regions for multivariate autoregressive processes
• A justification of conditional confidence intervals
• A new improved parsimonious multivariate Markov chain model
• Combining a regression model with a multivariate Markov chain in a forecasting problem
• Conditional Minimum Volume Predictive Regions for Stochastic Processes
• Improved Prediction Limits For AR(p) and ARCH(p) Processes

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