CLAR(1) point forecasting under estimation uncertainty

Nik, S; Weiss, CH

Weiss, CH (corresponding author), Helmut Schmidt Univ, Dept Math & Stat, Hamburg, Germany.

STATISTICA NEERLANDICA, 2020; 74 (4): 489

Abstract

Forecast error is not only caused by the randomness of the data-generating process but also by the uncertainty due to estimated model parameters. We i......

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