A General Framework for Prediction in Time Series Models

Eric Beutner; Alexander Heinemann; Stephan Smeekes

A General Framework for Prediction in Time Series Models

Eric Beutner, Alexander Heinemann, Stephan Smeekes

Research output: Working paper › Professional

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Abstract

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.

Original language	English
Publisher	arXiv.org at Cornell University Library
Publication status	Published - 5 Feb 2019

Publication series

Series	arXiv e-prints
Number	1902.01622

Access to Document

1902.01622v1Submitted manuscript, 339 KB

Cite this

Beutner, E., Heinemann, A., & Smeekes, S. (2019). A General Framework for Prediction in Time Series Models. arXiv.org at Cornell University Library. arXiv e-prints, No. 1902.01622

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AB - 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.

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