Model-free one-step-ahead prediction intervals: Asymptotic theory and small sample simulations

DOI10.1214/AOS/1176350493zbMath0627.62095OpenAlexW2007008874MaRDI QIDQ1092579

Robert B. Miller, Sinsup Cho

Publication date: 1987

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176350493

zbMATH Keywords

Gaussian processSimulationsstrongly mixingsmall samplesdouble exponentialARMA(1,q) processempirical quantile processmodel-free one-step-ahead prediction intervals

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Central limit and other weak theorems (60F05) Order statistics; empirical distribution functions (62G30)

Related Items (1)

Deviations between sample quantiles and empirical processes under absolute regular properties

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