The asymptotic efficiency of improved prediction intervals

DOI10.1016/j.spl.2010.04.016zbMath1198.62010arXiv0901.1911OpenAlexW2090072804MaRDI QIDQ988105

Khreshna Syuhada, Paul V. Kabaila

Publication date: 26 August 2010

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

Full work available at URL: https://arxiv.org/abs/0901.1911

zbMATH Keywords

asymptotic efficiencyestimative prediction limitimproved prediction limit

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Asymptotic distribution theory in statistics (62E20) Non-Markovian processes: estimation (62M09)

Related Items (3)

The improved value-at-risk for heteroscedastic processes and their coverage probability ⋮ A justification of conditional confidence intervals ⋮ Quantile-based estimative VaR forecast and dependence measure: a simulation approach

Cites Work

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• The Relative Efficiency of Prediction Intervals

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