Bias-correction and endogenous lag order algorithm for bootstrap prediction intervals. Discussion on: ``Bootstrap prediction intervals for linear, nonlinear and nonparametric autoregressions

DOI10.1016/j.jspi.2015.10.015zbMath1353.62097WikidataQ123121821 ScholiaQ123121821MaRDI QIDQ301353

F. Blanchet-Sadri, M. Dambrine

Publication date: 30 June 2016

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2015.10.015

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62G09: Nonparametric statistical resampling methods

Uses Software

• R
• BootPR