Concepedia

MULTI-STEP PREDICTION FOR NONLINEAR AUTOREGRESSIVE MODELS BASED ON EMPIRICAL DISTRIBUTIONS

Meihui Guo, Zhidong Bai, Hong An

National University of Singapore · 1999 · 15 citations · 7 references

Concepts

ComputingData ScienceForecastingStatistical ModelingTime Series AnalysisMultivariate ForecastingPredictive ModelingTime Series ForecastingTime Series ModelingTime Series PredictionAutoregressive ModelsEconometric Forecast ModelsEmpirical PredictionMulti-step ForecastingNonlinear Forecasting ModelsPredictive EconometricsSimulation Studies

Abstract

Statistica Sinica

References

7

Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

Robert F. Engle · Econometrica · 1982 · 20.6K citations

Computing, Economics, Econometrics +15

Time Series Analysis, Forecasting, and Control

Technometrics · 1995 · 3.6K citations

Computing, Data Science, Forecasting +11

Consistency and Limiting Distribution of the Least Squares Estimator of a Threshold Autoregressive Model

Kung‐Sik Chan · The Annals of Statistics · 1993 · 1.3K citations · Full text

Engineering, Economics, Stochastic Modeling +15

Probability Theory: Independence, Interchangeability, Martingales

Robert Lund, Y. S. Chow, Henry Teicher · Journal of the American Statistical Association · 1998 · 1.1K citations

Natural Sciences, Mathematics, Probability Theory +16

Some advances in non‐linear and adaptive modelling in time‐series

George C. Tiao, Ruey S. Tsay · Journal of Forecasting · 1994 · 363 citations

Computing, Data Science, Forecasting +13