Bootstrap prediction bands for forecast paths from vector autoregressive models

DOI10.1002/for.1205zbMath1248.62166OpenAlexW1970975646MaRDI QIDQ3166695

Anna Staszewska-Bystrova

Publication date: 15 October 2012

Published in: Journal of Forecasting (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/for.1205

zbMATH Keywords

simultaneous statistical inference

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Bootstrap, jackknife and other resampling methods (62F40) Nonparametric statistical resampling methods (62G09) Monte Carlo methods (65C05)

Related Items (7)

Bootstrap inference for network vector autoregression in large-scale social network ⋮ Construction of multi-step forecast regions of VAR processes using ordered block bootstrap ⋮ Constructing minimum-width confidence bands ⋮ Generating prediction bands for path forecasts from SETAR models ⋮ Bootstrap Joint Prediction Regions ⋮ Bootstrapping Periodic State-Space Models ⋮ Improved bootstrap prediction intervals for SETAR models

Cites Work

• Bootstrap prediction regions for multivariate autoregressive processes
• Bootstrap prediction intervals for autoregressive time series
• Representing uncertainty about response paths: the use of heuristic optimisation methods
• Bootstrap Prediction Intervals for Autoregression
• ON BOOTSTRAP PREDICTIVE INFERENCE FOR AUTOREGRESSIVE PROCESSES
• IMPROVED BOOTSTRAP PREDICTION INTERVALS FOR AUTOREGRESSIONS
• A CORRECTED AKAIKE INFORMATION CRITERION FOR VECTOR AUTOREGRESSIVE MODEL SELECTION

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