Improved frequentist prediction intervals for ARMA models by simulation
Helske, J., & Nyblom, J. (2014). Improved frequentist prediction intervals for ARMA models by simulation. In J. Knif, & B. Pape (Eds.), Contributions to Mathematics, Statistics, Econometrics, and Finance : essays in honour of professor Seppo Pynnönen (pp. 71-86). Vaasan Yliopisto. Acta Wasaensia, 296. http://www.uva.fi/materiaali/pdf/isbn_978-952-476-523-7.pdf
Julkaistu sarjassa
Acta WasaensiaPäivämäärä
2014[Introduction] In a traditional approach to time series forecasting, prediction intervals are usually
computed as if the chosen model were correct and the parameters of the model completely
known, with no reference to the uncertainty regarding the model selection
and parameter estimation. The parameter uncertainty may not be a major source
of prediction errors in practical applications, but its effects can be substantial if the
series is not too long. The problems of interval prediction are discussed in depth in
Chatfield (1993, 1996) and Clements & Hendry (1999). [Continues; please see the article]
Julkaisija
Vaasan YliopistoEmojulkaisun ISBN
978-952-476-522-0Kuuluu julkaisuun
Contributions to Mathematics, Statistics, Econometrics, and Finance : essays in honour of professor Seppo PynnönenISSN Hae Julkaisufoorumista
0355-2667Asiasanat
Alkuperäislähde
http://www.uva.fi/materiaali/pdf/isbn_978-952-476-523-7.pdfJulkaisu tutkimustietojärjestelmässä
https://converis.jyu.fi/converis/portal/detail/Publication/24478505
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