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

DOI10.1111/J.1467-9892.2004.01848.XMaRDI QIDQ4677017zbMATH OpenOpenAlexFDO

Authors Zhisong He, Paul 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

estimation errorsecond order approximationGaussian autoregression

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)

Recommendations

• scientific article; zbMATH DE number 6722872
• On Assessing Prediction Error in Autoregressive Models
• IMPROVED BOOTSTRAP PREDICTION INTERVALS FOR AUTOREGRESSIONS
• A simple procedure for computing improved prediction intervals for autoregressive models
• Model-free one-step-ahead prediction intervals: Asymptotic theory and small sample simulations

Cites work

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

Cited in

(10)

• The effects of model parameter deviations on the variance of a linearly filtered time series
• Improved Prediction Limits For AR(p) and ARCH(p) Processes
• Approximation methods for multiple period Value at Risk and Expected Shortfall prediction
• A simple procedure for computing improved prediction intervals for autoregressive models
• On robust forecasting in dynamic vector time series models
• The adjustment of prediction intervals to account for errors in parameter estimation
• The Relative Efficiency of Prediction Intervals
• The asymptotic efficiency of improved prediction intervals
• Improved multivariate prediction regions for Markov process models
• A justification of conditional confidence intervals

This page was built for publication: The adjustment of prediction intervals to account for errors in parameter estimation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4677017)