A simple procedure for computing improved prediction intervals for autoregressive models
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Publication:3077664
DOI10.1111/j.1467-9892.2009.00626.xzbMath1224.62073MaRDI QIDQ3077664
Publication date: 22 February 2011
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9892.2009.00626.x
62M20: Inference from stochastic processes and prediction
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
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Improved multivariate prediction regions for Markov process models, The asymptotic efficiency of improved prediction intervals, Improved Prediction Intervals and Distribution Functions
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