Improved prediction limits for a general class of Gaussian models

DOI10.1111/J.1467-9892.2010.00680.XMaRDI QIDQ3103203zbMATH OpenOpenAlexFDO

Authors Federica Giummolè, Paolo Vidoni

Publication date 26 November 2011

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

Full work available at URL https://doi.org/10.1111/j.1467-9892.2010.00680.x

zbMATH Keywords

ARMA modelscoverage probabilityprediction intervalpredictive densitystate space models

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Gaussian processes (60G15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Random fields; image analysis (62M40)

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Cites work

• Calibrating Prediction Regions
• scientific article; zbMATH DE number 48826 (Why is no real title available?)
• Improved prediction intervals for stochastic process models
• Miscellanea. A note on modified estimative prediction limits and distributions
• On prediction intervals based on predictive likelihood or bootstrap methods
• Prediction and asymptotics
• The Bootstrap and Kriging Prediction Intervals
• Time series analysis by state space methods

Cited in

(8)

• Prediction intervals for integrals of Gaussian random fields
• Bias reduction of a conditional maximum likelihood estimator for a Gaussian second-order moving average model
• Methods to compute prediction intervals: a review and new results
• A note on simultaneous calibrated prediction intervals for time series
• Improved prediction limits for continuous and discrete observations in generalised linear models
• Improved Prediction Limits For AR(p) and ARCH(p) Processes
• Improved prediction intervals for stochastic process models
• Calibrated prediction regions for Gaussian random fields

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