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

DOI10.1111/J.1467-9892.2004.01848.XzbMATH Open1060.62103OpenAlexW3121470316MaRDI QIDQ4677017FDOQ4677017

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

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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)

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

Cited In (10)

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

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