Robust bootstrap prediction intervals for univariate and multivariate autoregressive time series models (Q5073387): Difference between revisions

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scientific article; zbMATH DE number 7522679

Language	Label	Description	Also known as
English	Robust bootstrap prediction intervals for univariate and multivariate autoregressive time series models	scientific article; zbMATH DE number 7522679

Statements

instance of

scholarly article

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title

Robust bootstrap prediction intervals for univariate and multivariate autoregressive time series models (English)

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DOI

10.1080/02664763.2020.1856351

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Journal of Applied Statistics

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publication date

6 May 2022

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full work available at URL

https://arxiv.org/abs/2011.07664

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Mathematics Subject Classification ID

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autoregression

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multivariate forecast

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prediction interval

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resampling methods

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vector autoregression

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weighted likelihood

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describes a project that uses

robustbase

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MaRDI profile type

MaRDI publication profile

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OpenAlex ID

W3109436349

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cites work

Robust model selection in regression via weighted likelihood methodology

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Robust stepwise regression

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ARFIMA processes and outliers: a weighted likelihood approach

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Q2739224

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The multivariate least-trimmed squares estimator

0 references

Forecasting time series with sieve bootstrap

0 references

Robust and efficient estimation by minimising a density power divergence

0 references

Q5142069

0 references

New and fast block bootstrap-based prediction intervals for GARCH(1,1) process with application to exchange rates

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IMPROVED BOOTSTRAP PREDICTION INTERVALS FOR AUTOREGRESSIONS

0 references

Saving computer time in constructing consistent bootstrap prediction intervals for autoregressive processes

0 references

Computationally efficient bootstrap prediction intervals for returns and volatilities in ARCH and GARCH processes

0 references

Bootstrap prediction intervals for autoregressive time series

0 references

Strong uniform convergence rates in robust nonparametric time series analysis and prediction: Kernel regression estimation from dependent observations

0 references

Q3535297

0 references

Robust Estimation of the First-Order Autoregressive Parameter

0 references

Q5663283

0 references

ON BOOTSTRAP PREDICTIVE INFERENCE FOR AUTOREGRESSIVE PROCESSES

0 references

Efficiency versus robustness: The case for minimum Hellinger distance and related methods

0 references

Q4001588

0 references

Q5312885

0 references

Robust statistical inference: weighted likelihoods or usual m-estimation?

0 references

Weighted Likelihood Equations with Bootstrap Root Search

0 references

Robust Statistics

0 references

Prediction Intervals for Time Series: A Modified Sieve Bootstrap Approach

0 references

Robust estimation for vector autoregressive models

0 references

Bootstrap prediction intervals for linear, nonlinear and nonparametric autoregressions

0 references

Bootstrap prediction for returns and volatilities in GARCH models

0 references

An algorithm for robust fitting of autoregressive models

0 references

Methods for recursive robust estimation of AR parameters

0 references

Bootstrap Prediction Intervals for Autoregression

0 references

Outliers in multivariate time series

0 references

High breakdown-point and high efficiency robust estimates for regression

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:5073387

@@ Property / cites work @@
+Robust model selection in regression via weighted likelihood methodology
+Normal rank
@@ Property / cites work @@
+Robust stepwise regression
@@ Property / cites work: Robust stepwise regression / rank @@
+Normal rank
@@ Property / cites work @@
+ARFIMA processes and outliers: a weighted likelihood approach
+Normal rank
@@ Property / cites work @@
+Q2739224
@@ Property / cites work: Q2739224 / rank @@
+Normal rank
@@ Property / cites work @@
+The multivariate least-trimmed squares estimator
@@ Property / cites work: The multivariate least-trimmed squares estimator / rank @@
+Normal rank
@@ Property / cites work @@
+Forecasting time series with sieve bootstrap
@@ Property / cites work: Forecasting time series with sieve bootstrap / rank @@
+Normal rank
@@ Property / cites work @@
+Robust and efficient estimation by minimising a density power divergence
+Normal rank
@@ Property / cites work @@
+Q5142069
@@ Property / cites work: Q5142069 / rank @@
+Normal rank
@@ Property / cites work @@
+New and fast block bootstrap-based prediction intervals for GARCH(1,1) process with application to exchange rates
+Normal rank
@@ Property / cites work @@
+IMPROVED BOOTSTRAP PREDICTION INTERVALS FOR AUTOREGRESSIONS
+Normal rank
@@ Property / cites work @@
+Saving computer time in constructing consistent bootstrap prediction intervals for autoregressive processes
+Normal rank
@@ Property / cites work @@
+Computationally efficient bootstrap prediction intervals for returns and volatilities in ARCH and GARCH processes
+Normal rank
@@ Property / cites work @@
+Bootstrap prediction intervals for autoregressive time series
+Normal rank
@@ Property / cites work @@
+Strong uniform convergence rates in robust nonparametric time series analysis and prediction: Kernel regression estimation from dependent observations
+Normal rank
@@ Property / cites work @@
+Q3535297
@@ Property / cites work: Q3535297 / rank @@
+Normal rank
@@ Property / cites work @@
+Robust Estimation of the First-Order Autoregressive Parameter
+Normal rank
@@ Property / cites work @@
+Q5663283
@@ Property / cites work: Q5663283 / rank @@
+Normal rank
@@ Property / cites work @@
+ON BOOTSTRAP PREDICTIVE INFERENCE FOR AUTOREGRESSIVE PROCESSES
+Normal rank
@@ Property / cites work @@
+Efficiency versus robustness: The case for minimum Hellinger distance and related methods
+Normal rank
@@ Property / cites work @@
+Q4001588
@@ Property / cites work: Q4001588 / rank @@
+Normal rank
@@ Property / cites work @@
+Q5312885
@@ Property / cites work: Q5312885 / rank @@
+Normal rank
@@ Property / cites work @@
+Robust statistical inference: weighted likelihoods or usual m-estimation?
+Normal rank
@@ Property / cites work @@
+Weighted Likelihood Equations with Bootstrap Root Search
+Normal rank
@@ Property / cites work @@
+Robust Statistics
@@ Property / cites work: Robust Statistics / rank @@
+Normal rank
@@ Property / cites work @@
+Prediction Intervals for Time Series: A Modified Sieve Bootstrap Approach
+Normal rank
@@ Property / cites work @@
+Robust estimation for vector autoregressive models
+Normal rank
@@ Property / cites work @@
+Bootstrap prediction intervals for linear, nonlinear and nonparametric autoregressions
+Normal rank
@@ Property / cites work @@
+Bootstrap prediction for returns and volatilities in GARCH models
+Normal rank
@@ Property / cites work @@
+An algorithm for robust fitting of autoregressive models
+Normal rank
@@ Property / cites work @@
+Methods for recursive robust estimation of AR parameters
+Normal rank
@@ Property / cites work @@
+Bootstrap Prediction Intervals for Autoregression
@@ Property / cites work: Bootstrap Prediction Intervals for Autoregression / rank @@
+Normal rank
@@ Property / cites work @@
+Outliers in multivariate time series
@@ Property / cites work: Outliers in multivariate time series / rank @@
+Normal rank
@@ Property / cites work @@
+High breakdown-point and high efficiency robust estimates for regression
+Normal rank