Prediction Interval for Autoregressive Time Series via Oracally Efficient Estimation of Multi‐Step‐Ahead Innovation Distribution Function

DOI10.1111/jtsa.12293zbMath1401.62162OpenAlexW2790225164WikidataQ61865738 ScholiaQ61865738MaRDI QIDQ4684334

Lijie Gu, Juanjuan Kong

Publication date: 28 September 2018

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

Full work available at URL: https://doi.org/10.1111/jtsa.12293

zbMATH Keywords

prediction intervalYule-Walker estimatorresidualsnon-Gaussian distribution\(\mathrm{AR}(p)\)

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Nonparametric tolerance and confidence regions (62G15)

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