A new method for estimating the forecast quality with consideration for the errors of calculating the unknown parameters

DOI10.3103/S11968-008-1005-6zbMath1145.62076OpenAlexW2035351183MaRDI QIDQ949218

V. V. Kitov

Publication date: 21 October 2008

Published in: Moscow University Computational Mathematics and Cybernetics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3103/s11968-008-1005-6

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Linear regression; mixed models (62J05) Monte Carlo methods (65C05)

Related Items (1)

Fast Numerical Pricing of Barrier Options under Stochastic Volatility and Jumps

Cites Work

• Recent developments in bootstrapping time series
• Asymptotic Inference about Predictive Ability
• Unnamed Item

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