COVERAGE PROBABILITY OF A PREDICTION INTERVAL FOR A SEASONAL AR(1) PROCESS

DOI10.17654/AS048040241zbMath1347.62192MaRDI QIDQ2820393

Sa-aat Niwitpong, Monchaya Chiangpradit

Publication date: 16 September 2016

Published in: Advances and Applications in Statistics (Search for Journal in Brave)

Full work available at URL: http://www.pphmj.com/abstract/9851.htm

zbMATH Keywords

coverage probability; prediction interval; seasonal AR(1) process

Mathematics Subject Classification ID

62M20: Inference from stochastic processes and prediction

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)