Theory & Methods: An Efficient Simulation Method for the Computation of a Class of Conditional Expectations

DOI10.1111/1467-842X.00087MaRDI QIDQ4701039zbMATH OpenOpenAlexFDO

Authors Paul Kabaila

Publication date 1999

Published in Australian <html_ent glyph="@amp;" ascii="&amp;"/> New Zealand Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/1467-842x.00087

zbMATH Keywords

ARCHprediction interval

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(10)

• Calibrated multivariate distributions for improved conditional prediction
• A note on simultaneous calibrated prediction intervals for time series
• Accurate Computation of Conditional Expectation for Highly Nonlinear Problems
• Computation of conditional expectations with guarantees
• A simple procedure for computing improved prediction intervals for autoregressive models
• Efficient simulation of a bivariate exponential conditionals distribution
• Improved Prediction Limits For AR(p) and ARCH(p) Processes
• Simulation-Based Prediction
• The improved value-at-risk for heteroscedastic processes and their coverage probability
• Improved multivariate prediction regions for Markov process models

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