Kernel smoothed prediction intervals for ARMA models

DOI10.1007/S00362-005-0269-4zbMath1084.62091OpenAlexW2126646210MaRDI QIDQ819422

Klaus Abberger

Publication date: 28 March 2006

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: http://nbn-resolving.de/urn:nbn:de:bsz:352-opus-7817

zbMATH Keywords

quantile regressionsimulationsforecastingprediction intervalsnonparametric estimationnon-normal distributions

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (1)

Prediction intervals in the beta autoregressive moving average model

Uses Software

• KernSmooth

Cites Work

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• Local Linear Quantile Regression
• Regression Quantiles
• Data-driven decomposition of seasonal time series

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