Helske J (2019). tsPI: Bayesian Prediction Intervals for ARIMA Processes and Structural Time Series. R package version 1.0.3, https://github.com/helske/arimaPI.

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. http://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. http://urn.fi/URN:NBN:fi:jyu-201603141839.

Helske J (2015). Prediction and Interpolation of Time Series By State Space Models. University Of Jyväskylä. http://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 = {2019},
    note = {R package version 1.0.3},
    url = {https://github.com/helske/arimaPI},
  }

  @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 = {http://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 = {http://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 = {http://urn.fi/URN:NBN:fi:jyu-201603111829},
  }