The adjustment of prediction intervals to account for errors in parameter estimation

DOI10.1111/j.1467-9892.2004.01848.xzbMath1060.62103MaRDI QIDQ4677017

Zhisong He, Paul V. Kabaila

Publication date: 20 May 2005

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2004.01848.x

zbMATH Keywords

second order approximation; Gaussian autoregression; estimation error

Mathematics Subject Classification ID

62M20: Inference from stochastic processes and prediction

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

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Cites Work

• The sampling distribution of forecasts from a first-order autoregression
• The adjustment of prediction intervals to account for errors in parameter estimation
• The Relevance Property For Prediction Intervals