Interval forecasts and parameter uncertainty
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Cites work
- Another heteroskedasticity- and autocorrelation-consistent covariance matrix estimator
- Automatic Lag Selection in Covariance Matrix Estimation
- Bayesian fan charts for U.K. Inflation: Forecasting and sources of uncertainty in an evolving monetary system
- Exact mean integrated squared error
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- scientific article; zbMATH DE number 4047369 (Why is no real title available?)
- Invariance principles for absolutely regular empirical processes
- Multistep prediction in autoregressive processes
- Nonlinear time series. Nonparametric and parametric methods
Cited in
(9)- Dual interval-and-fuzzy analysis method for temperature prediction with hybrid epistemic uncertainties via polynomial chaos expansion
- A justification of conditional confidence intervals
- Revisiting tests for neglected nonlinearity using artificial neural networks
- The effects of model parameter deviations on the variance of a linearly filtered time series
- Adjusting forecast intervals in arch‐m models
- Semiparametric forecast intervals
- Approximation methods for multiple period Value at Risk and Expected Shortfall prediction
- DYNAMIC PROBABILISTIC FORECASTING WITH UNCERTAINTY
- Estimation-adjusted VaR
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