Model-free one-step-ahead prediction intervals: Asymptotic theory and small sample simulations (Q1092579)
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| Language | Label | Description | Also known as |
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| English | Model-free one-step-ahead prediction intervals: Asymptotic theory and small sample simulations |
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Model-free one-step-ahead prediction intervals: Asymptotic theory and small sample simulations (English)
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1987
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We show that the empirical quantile process from an ARMA(1,q) process which is strongly mixing \(\Delta_ s\), and is either Gaussian or double exponential, converges to a Gaussian process. This result is used to derive model-free one-step-ahead prediction intervals for such processes. Simulations demonstrate where the asymptotic theory can and cannot be applied to small samples.
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empirical quantile process
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ARMA(1,q) process
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strongly mixing
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double exponential
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Gaussian process
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model-free one-step-ahead prediction intervals
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Simulations
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small samples
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