Kernel smoothed prediction intervals for ARMA models
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- Klaus Abberger, 2006. "Kernel smoothed prediction intervals for ARMA models," Statistical Papers, Springer, vol. 47(1), pages 1-15, January.
References listed on IDEAS
- Chatfield, Chris, 1993. "Calculating Interval Forecasts: Reply," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(2), pages 143-144, April.
- Chatfield, Chris, 1993. "Calculating Interval Forecasts," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(2), pages 121-135, April.
- Koenker, Roger W & Bassett, Gilbert, Jr, 1978. "Regression Quantiles," Econometrica, Econometric Society, vol. 46(1), pages 33-50, January.
- Tsay, Ruey S, 1993. "Calculating Interval Forecasts: Comment: Adaptive Forecasting," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(2), pages 140-142, April.
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Keywords
Forecasting; Prediction intervals; Non normal distributions; Nonparametric estimation; Quantile regression;All these keywords.
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