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Communications in Statistics - Simulation and Computation Volume 38, 2009 - Issue 4
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Original Articles

Estimation Bias in the First-Order Autoregressive Model and Its Impact on Predictions and Prediction Intervals

Johannes Ledolter Department of Management Sciences, Tippie College of Business, University of Iowa, Iowa City, Iowa, USA; Department of Statistics, Vienna University of Economics and Business Administration, Vienna, AustriaCorrespondence[email protected]
Pages 771-787 | Received 22 Apr 2008, Accepted 24 Nov 2008, Published online: 05 Feb 2009

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Jing Li & Junsoo Lee. (2015) Improved autoregressive forecasts in the presence of non-normal errors. Journal of Statistical Computation and Simulation 85:14, pages 2936-2952.
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Articles from other publishers (3)

Tamer M. Elbayoumi & Sayed A. Mostafa. (2021) On the estimation bias in first‐order bifurcating autoregressive models. Stat 10:1.
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João Henrique Gonçalves Mazzeu, Esther Ruiz & Helena Veiga. (2018) UNCERTAINTY AND DENSITY FORECASTS OF ARMA MODELS: COMPARISON OF ASYMPTOTIC, BAYESIAN, AND BOOTSTRAP PROCEDURES. Journal of Economic Surveys 32:2, pages 388-419.
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Nathaniel Hilger. (2018) How Do Marketplaces Compete? The View From Stripe Connect. SSRN Electronic Journal.
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