Saving computer time in constructing consistent bootstrap prediction intervals for autoregressive processes
Publication:4387677
DOI10.1080/03610919708813420zbMath0925.62395OpenAlexW2001605901WikidataQ61849365 ScholiaQ61849365MaRDI QIDQ4387677
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Publication date: 10 August 1998
Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610919708813420
Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric statistical resampling methods (62G09) Probabilistic methods, stochastic differential equations (65C99)
Related Items (17)
Cites Work
- Estimation of integrated squared density derivatives
- A comparative study of several smoothing methods in density estimation
- Optimizing the smoothed bootstrap
- Bootstrap Prediction Intervals for Autoregression
- Smoothing the Bootstrap
- IMPROVED BOOTSTRAP PREDICTION INTERVALS FOR AUTOREGRESSIONS
- Predicting Using Box-Jenkins, Nonparametric, and Bootstrap Techniques
- On Estimation of a Probability Density Function and Mode
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