Approximate predictive pivots for autoregressive processes

  title={Approximate predictive pivots for autoregressive processes},
  author={Jos{\'e} Manuel Corcuera},
In this paper the author considers an autoregressive process where the parameters of the process are unknown and try to obtain pivots for predicting future observations. If we do a probabilistic prediction with the estimated model, where the parameters are estimated by a sample of size n, we introduce an error of order n−1 in the coverage probabilities of the prediction intervals. However we can reduce the order of the error if we calibrate adequately the estimated prediction bounds. The… CONTINUE READING