Nonparametric prediction intervals for explosive ar(1)-processes
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Publication:3432339
DOI10.1080/10485259308832549zbMath1360.62462MaRDI QIDQ3432339
Bernhard Gründer, Winfried Stute
Publication date: 16 April 2007
Published in: Journal of Nonparametric Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/10485259308832549
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62G05: Nonparametric estimation
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Cites Work
- Asymptotic distributions of prediction errors and related tests of fit for nonstationary processes
- Bootstrapping explosive autoregressive processes
- Weak convergence of the residual empirical process in explosive autoregression
- The oscillation behavior of empirical processes
- Estimation of the Distribution of Noise in an Autoregression Scheme
- On Asymptotic Distributions of Estimates of Parameters of Stochastic Difference Equations
- Calibrating Prediction Regions