Multiple forecasts with autoregressive time series models: Case studies.

DOI10.1016/S0378-4754(03)00108-3MaRDI QIDQ1427758zbMATH OpenFDO

Authors D. Massart

Publication date 14 March 2004

Published in Mathematics and Computers in Simulation (Search for Journal in Brave)

zbMATH Keywords

AICBonferroni inequalityBootstrapSimultaneous prediction intervalsAutoregressive processes

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84)

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Cites work

• scientific article; zbMATH DE number 3565994 (Why is no real title available?)
• Approximate Simultaneous Prediction Intervals for Multiple Forecasts
• Bootstrap Prediction Intervals for Autoregression
• Bootstrapping time series models
• Saving computer time in constructing consistent bootstrap prediction intervals for autoregressive processes
• Simultaneous prediction intervals for autoregressive-integrated moving-average models: A comparative study.
• Simultaneous prediction intervals for multiple forecasts based on Bonferroni and product-type inequalities

Cited in

(3)

• scientific article; zbMATH DE number 2135707 (Why is no real title available?)
• Comparing distributions with bootstrap techniques: An application to global solar radiation
• Characteristic function estimation of non-Gaussian Ornstein-Uhlenbeck processes

Describes a project that uses

Uses Software

• SAS/ETS
• SAS

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