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Large sample prediction regions with estimated parameters |
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| Authors: | P.M. Kulkarni |
| Affiliation: | La Trobe University , Melbourne, Australia |
| Abstract: | We obtain and asymptotic correction for the coverage probability of prediction regions when the parameter are estimated for dependent observations. Both stationary adn non-stationary type models are considered as applications. Asymptotic power of theses regions is also studied briefly. |
| Keywords: | Asymptotic size and power autoregressive processes estimated prediction regions linear regression log-linear multinomial size correction |