Nonparametric prediction intervals for explosive ar(1)-processes
From MaRDI portal
Publication:3432339
DOI10.1080/10485259308832549zbMath1360.62462OpenAlexW2077514331MaRDI 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
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05)
Related Items (3)
Analysis of crack growth with robust, distribution-free estimators and tests for non-stationary autoregressive processes ⋮ Tests Based on Simplicial Depth for AR(1) Models With Explosion ⋮ Asymptotics of regressions with stationary and nonstationary residuals.
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
This page was built for publication: Nonparametric prediction intervals for explosive ar(1)-processes
