A note on asymptotic parametric prediction

DOI10.1016/j.jspi.2008.07.018zbMath1157.62503OpenAlexW2019204401MaRDI QIDQ999007

Denis Bosq

Publication date: 30 January 2009

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2008.07.018

zbMATH Keywords

predictiondiffusion processOrnstein-Uhlenbeck processmoving average processprediction intervalautoregressive processlimit in distribution

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Asymptotic distribution theory in statistics (62E20)

Related Items (1)

Functional maximum-likelihood estimation of ARH(\(p\)) models

Cites Work

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• Predictions from ARMAX models
• Nonparametric statistics for stochastic processes. Estimation and prediction.
• Mixing: Properties and examples
• Statistical inference for ergodic diffusion processes.
• Asymptotic theory of weakly dependent stochastic processes
• Predictions of multivariate autoregressive-moving average models
• Inference and Prediction in Large Dimensions
• Convergence of Distributions Generated by Stationary Stochastic Processes

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