104
Views
3
CrossRef citations to date
0
Altmetric
INFERENCE

The Relative Efficiency of Prediction Intervals

&
Pages 2673-2686 | Received 03 Feb 2006, Accepted 19 Jan 2007, Published online: 06 Nov 2007

References

  • Abramowitz , M. , Stegun , I. A. ( 1965 ). Handbook of Mathematical Functions with Formulas, Graphs, and Mathematical Tables . New York : Dover .
  • Barndorff-Nielsen , O. E. , Cox , D. R. ( 1994 ). Inference and Asymptotics . London : Chapman & Hall .
  • Bickel , P. J. , Doksum , K. A. ( 1977 ). Mathematical Statistics . Oakland , CA : Holden-Day .
  • David , H. A. ( 1981 ). Order Statistics . New York : Wiley .
  • Doksum , K. , Koo , J.-Y. ( 2000 ). On spline estimators and prediction intervals in nonparametric regression . Computat. Statist. Data Anal. 35 : 67 – 82 .
  • Geisser , S. ( 1993 ). Predictive Inference: An Introduction . New York : Chapman & Hall .
  • He , Z. ( 2000 ). Assessment of the Accuracy of Time Series Predictions . Unpublished Ph.D. thesis, Department of Statistical Science . Victoria , Australia : La Trobe University .
  • Hodges , J. L. , Lehmann , E. L. ( 1970 ). Deficiency . Ann. Mathemat. Statist. 41 : 783 – 801 .
  • Johnson , N. L. , Kotz , S. , Balakrishnan , N. ( 1995 ). Continuous Univariate Distributions. , 2nd ed. New York : Wiley .
  • Kabaila , P. ( 1993 ). On bootstrap predictive inference for autoregressive processes . J. Time Ser. Anal. 14 : 473 – 484 .
  • Kabaila , P. , He , Z. ( 2004 ). The adjustment of prediction intervals to account for errors in parameter estimation . J. Time Ser. Anal. 25 : 351 – 358 .
  • McCullough , B. D. ( 1994 ). Bootstrapping forecast intervals: an application to AR(p) models . J. Forecasting 13 : 51 – 66 .
  • Phillips , P. C. B. ( 1979 ). The sampling distribution of forecasts from a first-order autoregression . J. Econometrics 9 : 241 – 261 .
  • Stine , R. A. ( 1987 ). Estimating properties of autoregressive forecasts . J. Amer. Statist. Assoc. 82 : 1072 – 1078 .
  • Thombs , L. A. , Schucany , W. R. ( 1990 ). Bootstrap prediction intervals for autoregression . J. Amer. Statist. Assoc. 85 : 486 – 492 .
  • Vidoni , P. ( 2004 ). Improved prediction intervals for stochastic process models . J. Time Ser. Anal. 25 : 137 – 154 .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.