Exact joint forecast regions for vector autoregressive models

DOI10.1080/02664769922638zbMATH Open1072.62638OpenAlexW1991659718MaRDI QIDQ4935563FDOQ4935563

Authors: Siu Hung Cheung, Ka Ho Wu, Wai Sum Chan 

Publication date: 1999

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02664769922638

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20)

Cites Work

• Algorithm AS 195: Multivariate Normal Probabilities with Error Bound
• Title not available (Why is that?)
• Approximations to Multivariate Normal Rectangle Probabilities Based on Conditional Expectations
• Interval forecasting in cointegrated systems

Cited In (2)

• The CBD Mortality Indexes: Modeling and Applications
• Construction of multi-step forecast regions of VAR processes using ordered block bootstrap

Uses Software

• AS 195

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