Improved prediction limits for a general class of Gaussian models

DOI10.1111/j.1467-9892.2010.00680.xzbMath1226.60051MaRDI QIDQ3103203

Federica Giummolè, Paolo Vidoni

Publication date: 26 November 2011

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2010.00680.x

zbMATH Keywords

coverage probability; prediction interval; state space models; ARMA models; predictive density

Mathematics Subject Classification ID

62M20: Inference from stochastic processes and prediction

62M40: Random fields; image analysis

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

60G15: Gaussian processes

60G10: Stationary stochastic processes

Related Items

Prediction intervals for integrals of Gaussian random fields, Bias reduction of a conditional maximum likelihood estimator for a Gaussian second-order moving average model, A note on simultaneous calibrated prediction intervals for time series

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