A new bootstrap-based forecast evaluation method tested on time series

DOI10.1007/S10559-008-0011-ZMaRDI QIDQ946723zbMATH OpenOpenAlexFDO

Authors V. V. Kitov

Publication date 24 September 2008

Published in Cybernetics and Systems Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10559-008-0011-z

zbMATH Keywords

bootstrapcredits in Peruforecast accuracy evaluationGNP of Brazilinexact evaluation of parameters

Mathematics Subject Classification ID

Bootstrap, jackknife and other resampling methods (62F40) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• Asymptotic Inference about Predictive Ability
• On the finite-sample accuracy of nonparametric resampling algorithms for economic time series
• Recent developments in bootstrapping time series
• The elements of statistical learning. Data mining, inference, and prediction

Cited in

(3)

• Bootstrap Type-1 Fuzzy Functions Approach for Time Series Forecasting
• A Technique for Evaluating Forecasting Models
• A new method for estimating the forecast quality with consideration for the errors of calculating the unknown parameters

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