The Relative Efficiency of Prediction Intervals

DOI10.1080/03610920701386794MaRDI QIDQ5438325zbMATH OpenOpenAlexFDO

Authors K. I. A. Syuhada, Paul Kabaila

Publication date 23 January 2008

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610920701386794

zbMATH Keywords

prediction intervalrelative efficiency

Mathematics Subject Classification ID

Parametric inference (62F99) Nonparametric inference (62G99) Inference from stochastic processes and prediction (62M20)

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Cites work

• Bootstrap Prediction Intervals for Autoregression
• Deficiency
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• scientific article; zbMATH DE number 3273551 (Why is no real title available?)
• Improved prediction intervals for stochastic process models
• ON BOOTSTRAP PREDICTIVE INFERENCE FOR AUTOREGRESSIVE PROCESSES
• On spline estimators and prediction intervals in nonparametric regression.
• The adjustment of prediction intervals to account for errors in parameter estimation
• The sampling distribution of forecasts from a first-order autoregression

Cited in

(9)

• Interval predictor models: identification and reliability
• On a class of interval predictor models with universal reliability
• scientific article; zbMATH DE number 4016747 (Why is no real title available?)
• Fiducial prediction intervals
• Conditional properties of prediction intervals
• The Relevance Property For Prediction Intervals
• The coverage properties of confidence regions after model selection
• Efficiency gains in value-at-risk and expected shortfall estimation by using copulas and full maximum likelihood
• The asymptotic efficiency of improved prediction intervals

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