Helske J (2023). tsPI: Bayesian Prediction Intervals for ARIMA Processes and Structural Time Series. R package version 1.0.4, https://github.com/helske/tsPI.
Helske J, Nyblom J (2014). “Improved frequentist prediction intervals for ARMA models by simulation.” In Knif J, Pape B (eds.), Contributions to Mathematics, Statistics, Econometrics, and Finance : essays in honour of professor Seppo Pynnönen, number 296 series Acta Wasaensia, 71–86. University of Vaasa. https://urn.fi/URN:NBN:fi:jyu-201603141836.
Helske J, Nyblom J (2015). “Improved Frequentist Prediction Intervals for Autoregressive Models by Simulation.” In Koopman SJ, Shephard N (eds.), Unobserved Components and Time Series Econometrics. Oxford University Press. https://urn.fi/URN:NBN:fi:jyu-201603141839.
Helske J (2015). Prediction and Interpolation of Time Series By State Space Models. University Of Jyväskylä. https://urn.fi/URN:NBN:fi:jyu-201603111829.
Corresponding BibTeX entries:
@Manual{RtsPI, title = {{tsPI}: Bayesian Prediction Intervals for ARIMA Processes and Structural Time Series}, author = {Jouni Helske}, year = {2023}, note = {R package version 1.0.4}, url = {https://github.com/helske/tsPI}, }
@InCollection{arimaPI, author = {Jouni Helske and Jukka Nyblom}, title = {Improved frequentist prediction intervals for {ARMA} models by simulation}, booktitle = {Contributions to Mathematics, Statistics, Econometrics, and Finance : essays in honour of professor Seppo Pynnönen}, publisher = {University of Vaasa}, editor = {Johan Knif and Bernd Pape}, number = {296}, series = {Acta Wasaensia}, pages = {71--86}, year = {2014}, url = {https://urn.fi/URN:NBN:fi:jyu-201603141836}, }
@InCollection{arPI, author = {Jouni Helske and Jukka Nyblom}, title = {Improved Frequentist Prediction Intervals for Autoregressive Models by Simulation}, booktitle = {Unobserved Components and Time Series Econometrics}, publisher = {Oxford University Press}, editor = {Siem Jan Koopman and Neil Shephard}, year = {2015}, url = {https://urn.fi/URN:NBN:fi:jyu-201603141839}, }
@Book{thesis, author = {Jouni Helske}, title = {Prediction and Interpolation of Time Series By State Space Models}, publisher = {University Of Jyväskylä}, year = {2015}, url = {https://urn.fi/URN:NBN:fi:jyu-201603111829}, }