liu.seSök publikationer i DiVA
Ändra sökning
RefereraExporteraLänk till posten
Permanent länk

Direktlänk
Referera
Referensformat
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • oxford
  • Annat format
Fler format
Språk
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Annat språk
Fler språk
Utmatningsformat
  • html
  • text
  • asciidoc
  • rtf
Improved frequentist prediction intervals for autoregressive models by simulation
University of Jyväskylä, Jyväskylä, Finland.ORCID-id: 0000-0001-7130-793X
University of Jyväskylä, Jyväskylä, Finland.
2015 (Engelska)Ingår i: Unobserved Components and Time Series Econometrics / [ed] Siem Jan Koopman and Neil Shephard, Oxford: Oxford University Press, 2015, s. 291-309Kapitel i bok, del av antologi (Övrigt vetenskapligt)
Abstract [en]

It is well known that the so-called plug-in prediction intervals for autoregressive processes, with Gaussian disturbances, are too short, i.e. the coverage probabilities fall below the nominal ones. However, simulation experiments show that the formulas borrowed from the ordinary linear regression theory yield one-step prediction intervals, which have coverage probabilities very close to that claimed. From a Bayesian point of view the resulting intervals are posterior predictive intervals when uniform priors are assumed for both autoregressive coefficients and logarithm of the disturbance variance. This finding enables one to see how to treat multi-step prediction intervals that are obtained by simulation either directly from the posterior distribution or using importance sampling. An application of the method to forecasting the annual gross domestic product growth in the United Kingdom and Spain is given for the period 2002 to 2011 using the estimation period 1962 to 2001.

Ort, förlag, år, upplaga, sidor
Oxford: Oxford University Press, 2015. s. 291-309
Nyckelord [en]
prediction interval, coverage probabilities, Bayesian estimation, multi-step forecasting, gross domestic product
Nationell ämneskategori
Sannolikhetsteori och statistik
Identifikatorer
URN: urn:nbn:se:liu:diva-144913DOI: 10.1093/acprof:oso/9780199683666.003.0013ISBN: 9780199683666 (tryckt)ISBN: 9780191763298 (digital)OAI: oai:DiVA.org:liu-144913DiVA, id: diva2:1180718
Tillgänglig från: 2018-02-06 Skapad: 2018-02-06 Senast uppdaterad: 2018-02-14Bibliografiskt granskad

Open Access i DiVA

Fulltext saknas i DiVA

Övriga länkar

Förlagets fulltextFind book at a Swedish library/Hitta boken i ett svenskt bibliotek

Person

Helske, Jouni

Sök vidare i DiVA

Av författaren/redaktören
Helske, Jouni
Sannolikhetsteori och statistik

Sök vidare utanför DiVA

GoogleGoogle Scholar

doi
isbn
urn-nbn

Altmetricpoäng

doi
isbn
urn-nbn
Totalt: 29 träffar
RefereraExporteraLänk till posten
Permanent länk

Direktlänk
Referera
Referensformat
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • oxford
  • Annat format
Fler format
Språk
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Annat språk
Fler språk
Utmatningsformat
  • html
  • text
  • asciidoc
  • rtf