Nonparametric prediction intervals for explosive ar(1)-processes
Authors:
Winfried Stute a;
Bernhard Gr
nder a
nder a
| Affiliation: | a Math. Institut, Universit t GieBen, |
DOI:
10.1080/10485259308832549
Publication Frequency:
8 issues per year
Subjects:
Mathematical Economics;
Mathematical Finance;
Medical Statistics;
Statistical Theory & Methods;
Statistics;
Statistics for the Biological Sciences;
Stochastic Models & Processes;
Formats available:
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Abstract
In this paper we construct prediction intervals for an explosive AR(1)-process, which conditionally on the observables contain an s-step shead future value with a given coverage probability. It is shown implicitly that for prediction purposes the excellent convergence properties of the LSE are balanced by the explosive behavior of the observables so as to yield a nondegenerate distributional limit of conditional coverage probabilities.
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| Keywords: Prediction intervals; explosive time series; coverage probability |
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