On prediction intervals for conditionally heteroscedastic processes

DOI10.1111/1467-9892.00250zbMATH Open0984.62072OpenAlexW2155440162MaRDI QIDQ2784958

Zhisong He, Paul Kabaila

Publication date: 24 April 2002

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9892.00250

zbMATH Keywords

prediction interval expected lengthstationary Markov bilinear process

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (3)

Optimal Predictions of Powers of Conditionally Heteroscedastic Processes ⋮ Title not available (Why is that?) ⋮ Title not available (Why is that?)

Recommendations

• Title not available (Why is that?) 👍 👎
• EMPIRICAL-LIKELIHOOD-BASED CONFIDENCE INTERVALS FOR CONDITIONAL VARIANCE IN HETEROSKEDASTIC REGRESSION MODELS 👍 👎
• Parameter Estimation in Conditional Heteroscedastic Models 👍 👎
• Improved prediction intervals for stochastic process models 👍 👎
• The prediction distribution for the heteroscedastic multivariate lineary models 👍 👎
• Optimal Predictions of Powers of Conditionally Heteroscedastic Processes 👍 👎

This page was built for publication: On prediction intervals for conditionally heteroscedastic processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2784958)