Approximate predictive pivots for autoregressive processes

DOI10.1016/J.SPL.2008.03.010zbMATH Open1147.62373OpenAlexW2010852981MaRDI QIDQ952858FDOQ952858

Authors: José Manuel Corcuera 

Publication date: 14 November 2008

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2008.03.010

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Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)

Cites Work

• Title not available (Why is that?)
• Prediction and asymptotics

Cited In (3)

• The asymptotic efficiency of improved prediction intervals
• Approximate predictor and filter for partially observed vector ARMA processes
• Improved multivariate prediction regions for Markov process models

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