Bootstrap prediction intervals for Markov processes

DOI10.1016/J.CSDA.2015.05.010MaRDI QIDQ1659134zbMATH OpenOpenAlexFDO

Authors Li Pan, Dimitris Politis

Publication date 15 August 2018

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.csda.2015.05.010

zbMATH Keywords

confidence intervalsmodel-free predictionlocal bootstrap

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• scientific article; zbMATH DE number 3457895 (Why is no real title available?)
• scientific article; zbMATH DE number 3565994 (Why is no real title available?)
• scientific article; zbMATH DE number 735230 (Why is no real title available?)
• scientific article; zbMATH DE number 1424397 (Why is no real title available?)
• Asymptotically Valid Prediction Intervals for Linear Models
• Bootstrap Joint Prediction Regions
• Bootstrap Prediction Intervals for Autoregression
• Bootstrap Prediction Intervals for Regression
• Bootstrap in Markov-sequences based on estimates of transition density
• Bootstrap methods: another look at the jackknife
• Bootstrap predictive inference for ARIMA processes
• Copulas and Markov processes
• Forecasting time series with sieve bootstrap
• IMPROVED BOOTSTRAP PREDICTION INTERVALS FOR AUTOREGRESSIONS
• Model-free model-fitting and predictive distributions
• Nonparametric econometrics. Theory and practice.
• Prediction intervals - a review
• Prediction intervals for regression models
• Regression-type inference in nonparametric autoregression
• Remarks on a Multivariate Transformation
• The local bootstrap for Markov processes

Cited in

(8)

• A justification of conditional confidence intervals
• Predictive inference for locally stationary time series with an application to climate data
• Model-free bootstrap for a general class of stationary time series
• Time-varying NoVaS versus GARCH: point prediction, volatility estimation and prediction intervals
• Rejoinder -- Bootstrap prediction intervals for linear, nonlinear and nonparametric autoregressions
• Higher-order improvements of the parametric bootstrap for Markov processes
• Bootstrap confidence intervals for conditional density function in Markov processes
• Improved multivariate prediction regions for Markov process models

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