On prediction intervals for conditionally heteroscedastic processes

Journal of Time Series Analysis

Volumn 22, Issue 6, 2001, Pages 725-731

  Kabaila, Paul ^a   He, Zhisong ^a  

^a LA TROBE UNIVERSITY   (Australia)

Author keywords

Simple Markovian bilinear process

Indexed keywords

EID: 0040330394     PISSN: 01439782     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-9892.00250     Document Type: Article

References (5)

1. DAWID, A. P. (1984) Statistical theory: the prequential approach (with discussion). Journal of Royal Statistical Society, Series A 147, 278-92.
2. GEISSER, S. (1993) Predictive Inference: An Introduction. London: Chapman and Hall.
3. KABAILA, P. (1999) The relevance property for prediction intervals. Journal of Time Series Analysis 20, 655-62.
4. SKOURAS, K. and DAWID, A. P. (1998) On efficient point prediction systems. Journal of Royal Statistical Society, Series B 60, 765-80.
5. TONG, H. (1990) Non-linear Time Series: A Dynamical Systems Approach. Oxford: Clarendon Press.