Improved prediction intervals for stochastic process models

DOI10.1111/J.1467-9892.2004.00341.XMaRDI QIDQ4828174zbMATH OpenOpenAlexFDO

Authors Paolo Vidoni

Publication date 24 November 2004

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9892.2004.00341.x

zbMATH Keywords

predictionconditional approachARCH modelAR modelparametric statistical model

Mathematics Subject Classification ID

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?)
• Asymptotic theory of statistical inference for time series
• Biometrika centenary: Nonparametrics
• The Relevance Property For Prediction Intervals
• The bootstrap and Edgeworth expansion
• The sampling distribution of forecasts from a first-order autoregression

Cited in

(14)

• A note on simultaneous calibrated prediction intervals for time series
• A justification of conditional confidence intervals
• The Relative Efficiency of Prediction Intervals
• On prediction intervals for conditionally heteroscedastic processes
• A simple procedure for computing improved prediction intervals for autoregressive models
• Improved prediction limits for a general class of Gaussian models
• Improved Prediction Limits For AR(p) and ARCH(p) Processes
• Quantile-based estimative VaR forecast and dependence measure: a simulation approach
• Improved prediction limits for continuous and discrete observations in generalised linear models
• Response prediction in mixed effects models
• The asymptotic efficiency of improved prediction intervals
• The improved value-at-risk for heteroscedastic processes and their coverage probability
• Improved multivariate prediction regions for Markov process models
• Methods to compute prediction intervals: a review and new results

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