A note on asymptotic parametric prediction

DOI10.1016/J.JSPI.2008.07.018zbMATH Open1157.62503OpenAlexW2019204401MaRDI QIDQ999007FDOQ999007

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

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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)

Cites Work

• Mixing: Properties and examples
• Title not available (Why is that?)
• Title not available (Why is that?)
• Convergence of Distributions Generated by Stationary Stochastic Processes
• Nonparametric statistics for stochastic processes. Estimation and prediction.
• Statistical inference for ergodic diffusion processes.
• Asymptotic theory of weakly dependent stochastic processes
• Inference and Prediction in Large Dimensions
• Title not available (Why is that?)
• Predictions of multivariate autoregressive-moving average models
• Title not available (Why is that?)
• Predictions from ARMAX models

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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