A note on asymptotic parametric prediction

DOI10.1016/J.JSPI.2008.07.018MaRDI QIDQ999007zbMATH OpenOpenAlexFDO

Authors Denis Bosq

Publication date 30 January 2009

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jspi.2008.07.018

zbMATH Keywords

predictionOrnstein-Uhlenbeck processdiffusion processmoving average processautoregressive processprediction intervallimit in distribution

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Inference from stochastic processes and prediction (62M20)

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Cites work

• scientific article; zbMATH DE number 4102349 (Why is no real title available?)
• scientific article; zbMATH DE number 3497161 (Why is no real title available?)
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• scientific article; zbMATH DE number 3305567 (Why is no real title available?)
• Asymptotic theory of weakly dependent stochastic processes
• Convergence of Distributions Generated by Stationary Stochastic Processes
• Inference and Prediction in Large Dimensions
• Mixing: Properties and examples
• Nonparametric statistics for stochastic processes. Estimation and prediction.
• Predictions from ARMAX models
• Predictions of multivariate autoregressive-moving average models
• Statistical inference for ergodic diffusion processes.

Cited in

(3)

• A note on non-parametric estimation with predicted variables
• Functional maximum-likelihood estimation of ARH(\(p\)) models
• A note on parameter estimation under a t-model

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