Journal of the Korean Data and Information Science Society

The Korean Data and Information Science Society (한국데이터정보과학회)
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Model-Free Interval Prediction in a Class of Time Series with Varying Coefficients

  • Published : 2000.10.31
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Abstract

Interval prediction based on the empirical distribution function for the class of time series with time varying coefficients is discussed. To this end, strong mixing property of the model is shown and results due to Fotopoulos et. al.(1994) are employed. A simulation study is presented to assess the accuracy of the proposed interval predictor.

Keywords

References

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