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dc.contributor.authorHelske, Jouni
dc.contributor.authorNyblom, Jukka
dc.date.accessioned2016-03-14T11:28:22Z
dc.date.available2016-03-14T11:28:22Z
dc.date.issued2014
dc.identifier.citationHelske, J., & Nyblom, J. (2014). Improved frequentist prediction intervals for ARMA models by simulation. In J. Knif, & B. Pape (Eds.), <em>Contributions to Mathematics, Statistics, Econometrics, and Finance : essays in honour of professor Seppo Pynnönen</em> (pp. 71-86). Acta Wasaensia, 296. Vaasa: Vaasan Yliopisto. Retrieved from <a href="http://www.uva.fi/materiaali/pdf/isbn_978-952-476-523-7.pdf">http://www.uva.fi/materiaali/pdf/isbn_978-952-476-523-7.pdf</a>
dc.identifier.otherTUTKAID_64810
dc.identifier.urihttps://jyx.jyu.fi/handle/123456789/49048
dc.description.abstract[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]
dc.format.extent412
dc.language.isoeng
dc.publisherVaasan Yliopisto
dc.relation.ispartofContributions to Mathematics, Statistics, Econometrics, and Finance : essays in honour of professor Seppo Pynnönen
dc.relation.ispartofContributions to Mathematics, Statistics, Econometrics, and Finance : essays in honour of professor Seppo Pynnönen, Ed by J. Knif, & B. Pape. Acta Wasaensia; 296. Vaasa: Vaasan Yliopisto. ISBN 978-952-476-522-0
dc.relation.ispartofseriesActa Wasaensia;296
dc.relation.urihttp://www.uva.fi/materiaali/pdf/isbn_978-952-476-523-7.pdf
dc.subject.otherARMA models
dc.titleImproved frequentist prediction intervals for ARMA models by simulation
dc.typebookPart
dc.identifier.urnURN:NBN:fi:jyu-201603141836
dc.contributor.laitosMatematiikan ja tilastotieteen laitosfi
dc.contributor.laitosDepartment of Mathematics and Statisticsen
dc.contributor.oppiaineTilastotiede
dc.type.urihttp://purl.org/eprint/type/BookItem
dc.date.updated2016-03-14T10:15:03Z
dc.type.coarbook part
dc.description.reviewstatusnonPeerReviewed
dc.format.pagerange71-86
dc.relation.issn0355-2667
dc.type.versionpublishedVersion
dc.rights.accesslevelopenAccessfi


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