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 |
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| Publisher | arXiv.org at Cornell University Library |
| Publication status | Published - 5 Feb 2019 |
Publication series
| Series | arXiv e-prints |
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| Number | 1902.01622 |
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