Prediction Interval for Autoregressive Time Series via Oracally Efficient Estimation of Multi‐Step‐Ahead Innovation Distribution Function (Q4684334)

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scientific article; zbMATH DE number 6945467
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Prediction Interval for Autoregressive Time Series via Oracally Efficient Estimation of Multi‐Step‐Ahead Innovation Distribution Function
scientific article; zbMATH DE number 6945467

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    Prediction Interval for Autoregressive Time Series via Oracally Efficient Estimation of Multi‐Step‐Ahead Innovation Distribution Function (English)
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    28 September 2018
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    \(\mathrm{AR}(p)\)
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    non-Gaussian distribution
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    prediction interval
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    residuals
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    Yule-Walker estimator
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