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A General Framework for Prediction in Time Series Models by Beutner, Eric; Heinemann, Alexander; Smeekes, Stephan is a scholarly article available to read on EtoBox.

What is A General Framework for Prediction in Time Series Models about?

In this paper we propose a general framework to analyze prediction in time series models and show how a wide class of popular time series models satisfies this framework. We postulate a set of high-level assumptions, and formally verify these assumptions for the aforementioned time series models. Our framework coincides with that of Beutner et al. (2019, arXiv:1710.00643) who establish the validity of conditional confidence intervals for predictions made in this framework. The current paper therefore complements the results in Beutner et al. (2019, arXiv:1710.00643) by providing practically relevant applications of their theory.

Author

Beutner, Eric; Heinemann, Alexander; Smeekes, Stephan

Published

2019

Language

EN