RT Generic
T1 Prediction intervals for nearly nonstationary AR(1)-processes
A1 Ferretti, Nélida
A1 Romo, Juan
A2 Universidad Carlos III de Madrid. Departamento de Estadística, 
AB We 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.
YR 1993
FD 1993-10
LK https://hdl.handle.net/10016/3735
UL https://hdl.handle.net/10016/3735
LA eng
DS e-Archivo
RD 1 may. 2024