Exact joint forecast regions for vector autoregressive models

DOI10.1080/02664769922638MaRDI QIDQ4935563zbMATH OpenOpenAlexFDO

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

• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• Algorithm AS 195: Multivariate Normal Probabilities with Error Bound
• 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

Describes a project that uses

Uses Software

• AS 195

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