Large sample prediction regions with estimated parameters

DOI10.1080/03610928708829456zbMath0653.62070OpenAlexW2027819130MaRDI QIDQ3799527

No author found.

Publication date: 1987

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

Full work available at URL: https://doi.org/10.1080/03610928708829456

zbMATH Keywords

stationaryprediction intervalautoregressive processesasymptotic powerasymptotic sizenon-stationarysize correctionasymptotic correction for the coverage probabilitydependent sample observationsestimated prediction regionslog-linear multinomial

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Linear regression; mixed models (62J05)

Cites Work

• Asymptotic distributions of prediction errors and related tests of fit for nonstationary processes
• Robust tests for time series with an application to first-order autoregressive processes
• Large sample estimation and prediction for explosive growth curve models
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