Bootstrap Prediction Intervals for Autoregression

DOI10.2307/2289788zbMath0705.62089OpenAlexW2485347808MaRDI QIDQ3485777

L. A. Thombs, William R. Schucany

Publication date: 1990

Full work available at URL: https://doi.org/10.2307/2289788

zbMATH Keywords

bootstrapsimulationtime seriesresamplingprediction intervalconditional distributionstationary autoregressive processnon-Gaussian autoregressive models

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20)

Related Items (56)

Polarization of forecast densities: a new approach to time series classification ⋮ Bootstrap inference for network vector autoregression in large-scale social network ⋮ Bootstrap prediction bands for forecast paths from vector autoregressive models ⋮ Bootstrap prediction intervals for linear, nonlinear and nonparametric autoregressions ⋮ ON BOOTSTRAP PREDICTIVE INFERENCE FOR AUTOREGRESSIVE PROCESSES ⋮ SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS ⋮ Robust bootstrap prediction intervals for univariate and multivariate autoregressive time series models ⋮ Bootstrap prediction intervals for Markov processes ⋮ Introducing model uncertainty by moving blocks bootstrap ⋮ Construction of multi-step forecast regions of VAR processes using ordered block bootstrap ⋮ Finite-sample properties of estimators for first and second order autoregressive processes ⋮ Prediction intervals in the beta autoregressive moving average model ⋮ Bootstrap prediction intervals for autoregressive conditional duration models ⋮ Bootstrap Prediction Bands for Functional Time Series ⋮ IMPROVED BOOTSTRAP PREDICTION INTERVALS FOR AUTOREGRESSIONS ⋮ Generating prediction bands for path forecasts from SETAR models ⋮ Bootstrap prediction intervals for autoregressive models fitted to non-autoregressive processes ⋮ Undercoverage of Wavelet-Based Resampling Confidence Intervals ⋮ On sieve bootstrap prediction intervals. ⋮ Prediction intervals for farima processes by bootstrap methods ⋮ Non-linear time series clustering based on non-parametric forecast densities ⋮ Bootstrapping time series models ⋮ Multiple forecasts with autoregressive time series models: Case studies. ⋮ Bootstrapping forecast intervals in ARCH models ⋮ Bootstrap prediction in univariate volatility models with leverage effect ⋮ Demand forecasting of individual probability density functions with machine learning ⋮ A non-stationary integer-valued autoregressive model ⋮ New and fast block bootstrap-based prediction intervals for GARCH(1,1) process with application to exchange rates ⋮ Computationally efficient bootstrap prediction intervals for returns and volatilities in ARCH and GARCH processes ⋮ Functional methods for time series prediction: a nonparametric approach ⋮ Saving computer time in constructing consistent bootstrap prediction intervals for autoregressive processes ⋮ Prediction Intervals for Time Series: A Modified Sieve Bootstrap Approach ⋮ The effects of model parameter deviations on the variance of a linearly filtered time series ⋮ Forecast of the expected non-epidemic morbidity of acute diseases using resampling methods ⋮ Bias Reduction through First-order Mean Correction, Bootstrapping and Recursive Mean Adjustment ⋮ The Relative Efficiency of Prediction Intervals ⋮ The asymptotic efficiency of improved prediction intervals ⋮ Forecasting time series with sieve bootstrap ⋮ Improved Prediction Limits For AR(p) and ARCH(p) Processes ⋮ Bias-corrected bootstrap prediction intervals for autoregressive model: new alternatives with applications to tourism forecasting ⋮ ESTIMATION OF THE PREDICTION ERROR VARIANCE AND AN R²MEASURE BY AUTOREGRESSIVE MODEL FITTING ⋮ Wavelet-Based Bootstrap for Time Series Analysis ⋮ Bootstrap prediction intervals in state-space models ⋮ A simple procedure for computing improved prediction intervals for autoregressive models ⋮ Time series clustering based on forecast densities ⋮ Obtaining prediction intervals for FARIMA processes using the sieve bootstrap ⋮ Bootstrap prediction intervals for autoregressive time series ⋮ Forecasting nonlinear time series with neural network sieve bootstrap ⋮ A time series bootstrap procedure for interpolation intervals ⋮ Efficiency and robustness in subsampling for dependent data ⋮ Bootstrap Joint Prediction Regions ⋮ An overview of bootstrap methods for estimating and predicting in time series ⋮ Recent developments in bootstrapping time series ⋮ Comments on: Model-free model-fitting and predictive distributions ⋮ Median unbiased forecasts for highly persistent autoregressive processes ⋮ Improved bootstrap prediction intervals for SETAR models

This page was built for publication: Bootstrap Prediction Intervals for Autoregression