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Simultaneous prediction intervals for multiple steps ahead forecasts in vector time series.

Yick, Kwok Leung. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2007. / Includes bibliographical references (leaves 67-68). / Abstracts in English and Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 1.1 --- The importance of forecasting --- p.1 / Chapter 1.2 --- Objective --- p.3 / Chapter 2 --- Vector Autoregressive Model --- p.5 / Chapter 2.1 --- The VAR(p) model --- p.5 / Chapter 2.2 --- Least squares estimation method --- p.7 / Chapter 2.3 --- VAR order selection method --- p.10 / Chapter 2.4 --- Constructing simultaneous prediction intervals procedures --- p.11 / Chapter 2.4.1 --- Bonferroni procedure --- p.12 / Chapter 2.4.2 --- The 'Exact' procedure --- p.13 / Chapter 2.4.3 --- Two variables case --- p.15 / Chapter 2.4.4 --- Three variables case --- p.18 / Chapter 3 --- A System of Linear Equations with Exogenous Variables --- p.23 / Chapter 3.1 --- Restriction of VAR model --- p.23 / Chapter 3.2 --- Least squares estimation method --- p.24 / Chapter 3.3 --- Hsiao's sequential method for estimating the lag lengths --- p.26 / Chapter 3.3.1 --- Two variables case --- p.27 / Chapter 3.3.2 --- Three variables case --- p.29 / Chapter 3.4 --- Using VAR model to construct simultaneous prediction intervals --- p.32 / Chapter 3.4.1 --- Bonferroni procedure --- p.34 / Chapter 3.4.2 --- The 'Exact' procedure --- p.35 / Chapter 3.4.3 --- Two variables case --- p.36 / Chapter 3.4.4 --- Three variables case --- p.38 / Chapter 4 --- Illustrative Examples --- p.42 / Chapter 5 --- A Simulation Study --- p.52 / Chapter 5.1 --- Design of the experiment --- p.52 / Chapter 5.2 --- Simulation results --- p.58 / Chapter 5.3 --- Concluding remarks --- p.60 / Chapter 5.4 --- Further research --- p.60 / References --- p.67

Identiferoai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_325946
Date January 2007
ContributorsYick, Kwok Leung., Chinese University of Hong Kong Graduate School. Division of Statistics.
Source SetsThe Chinese University of Hong Kong
LanguageEnglish, Chinese
Detected LanguageEnglish
TypeText, bibliography
Formatprint, vii, 68 leaves ; 30 cm.
RightsUse of this resource is governed by the terms and conditions of the Creative Commons “Attribution-NonCommercial-NoDerivatives 4.0 International” License (http://creativecommons.org/licenses/by-nc-nd/4.0/)

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