IDEAS home Printed from https://ideas.repec.org/a/eee/stapro/v78y2008i16p2685-2691.html
   My bibliography  Save this article

Approximate predictive pivots for autoregressive processes

Author

Listed:
  • Corcuera, José M.

Abstract

In this paper the author considers an autoregressive process where the parameters of the process are unknown and try to obtain pivots for predicting future observations. If we do a probabilistic prediction with the estimated model, where the parameters are estimated by a sample of size n, we introduce an error of order n-1 in the coverage probabilities of the prediction intervals. However we can reduce the order of the error if we calibrate adequately the estimated prediction bounds. The solution obtained can be expressed in terms of an approximate predictive pivot.

Suggested Citation

  • Corcuera, José M., 2008. "Approximate predictive pivots for autoregressive processes," Statistics & Probability Letters, Elsevier, vol. 78(16), pages 2685-2691, November.
    • Handle: RePEc:eee:stapro:v:78:y:2008:i:16:p:2685-2691
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0167-7152(08)00185-5
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Kabaila, Paul & Syuhada, Khreshna, 2010. "The asymptotic efficiency of improved prediction intervals," Statistics & Probability Letters, Elsevier, vol. 80(17-18), pages 1348-1353, September.
    2. Paolo Vidoni, 2017. "Improved multivariate prediction regions for Markov process models," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 26(1), pages 1-18, March.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:stapro:v:78:y:2008:i:16:p:2685-2691. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.