Improved multivariate prediction regions for Markov process models

DOI10.1007/S10260-016-0362-YzbMATH Open1397.62352OpenAlexW2398197330MaRDI QIDQ518878FDOQ518878

Paolo Vidoni

Publication date: 30 March 2017

Published in: Statistical Methods and Applications (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/11390/1100394

zbMATH Keywords

time seriesautoregressive modelcoverage probabilityestimative prediction limitssimultaneous prediction limits

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation in multivariate analysis (62H12) Inference from stochastic processes and prediction (62M20)

Cites Work

• Title not available (Why is that?)
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• A simple procedure for computing improved prediction intervals for autoregressive models
• Improved Prediction Limits For AR(p) and ARCH(p) Processes
• The adjustment of prediction intervals to account for errors in parameter estimation
• Theory & Methods: An Efficient Simulation Method for the Computation of a Class of Conditional Expectations
• Improved prediction intervals for stochastic process models
• The Relevance Property For Prediction Intervals
• Multivariate prediction
• Calibrated multivariate distributions for improved conditional prediction
• Approximate predictive pivots for autoregressive processes
• ECM-based maximum likelihood inference for multivariate linear mixed models with autoregressive errors

Cited In (3)

• A justification of conditional confidence intervals
• Combining a regression model with a multivariate Markov chain in a forecasting problem
• Conditional Minimum Volume Predictive Regions for Stochastic Processes

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