Lanne, Markku; Luoto, Jani; Saikkonen, Pentti - Volkswirtschaftliche Fakultät, … - 2010
In this paper, we propose a simulation-based method for computing point and density forecasts for univariate noncausal and non-Gaussian autoregressive processes. Numerical methods are needed to forecast such time series because the prediction problem is generally nonlinear and no analytic...