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Prediction intervals for nearly nonstationary AR(1)-processes

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dc.affiliation.dptoUC3M. Departamento de EstadĂ­sticaes
dc.contributor.authorFerretti, NĂ©lida
dc.contributor.authorRomo, Juan
dc.contributor.editorUniversidad Carlos III de Madrid. Departamento de EstadĂ­sticaes
dc.date.accessioned2009-02-20T12:23:13Z
dc.date.available2009-02-20T12:23:13Z
dc.date.issued1993-10
dc.description.abstractWe construct prediction intervals for the observations of first-order autoregressive processes when the model approaches a nonstationary situation with a unit root. The intervals that we propose contain an s-step future value with a given asymptotic probability conditional on the observation. A simulation study has been also carried out to illustrate our results.es
dc.format.mimetypeapplication/pdf
dc.identifier.urihttps://hdl.handle.net/10016/3735
dc.language.isoenges
dc.relation.ispartofseriesUC3M Working Papers. Statistics and Econometricses
dc.relation.ispartofseries1993-24-19es
dc.rightsAtribuciĂ³n-NoComercial-SinDerivadas 3.0 España
dc.rights.accessRightsopen access
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.ecienciaEstadĂ­stica
dc.subject.otherPrediction intervalses
dc.subject.otherNearly nonstationary time serieses
dc.subject.otherCoverage probabilityes
dc.titlePrediction intervals for nearly nonstationary AR(1)-processeses
dc.typeworking paper*
dspace.entity.typePublication
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