Bootstrapping periodic state-space models
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Cites work
- A Note on Calculating Autocovariances of PeriodicARMAModels
- A State space approach to bootstrapping conditional forecasts in arma models
- Bootstrap methods: another look at the jackknife
- Bootstrap prediction bands for forecast paths from vector autoregressive models
- Bootstrap prediction for returns and volatilities in GARCH models
- Bootstrap prediction intervals in state-space models
- Bootstrap prediction regions for multivariate autoregressive processes
- Bootstrap predictive inference for ARIMA processes
- Calculating the autocovariances and the likelihood for periodic V ARMA models
- scientific article; zbMATH DE number 193291 (Why is no real title available?)
- scientific article; zbMATH DE number 976336 (Why is no real title available?)
- On modelling and diagnostic checking of vector periodic autoregressive time series models
- PARAMETER ESTIMATION FOR PERIODIC ARMA MODELS
- Parsimony, Model Adequacy and Periodic Correlation in Time Series Forecasting
- Periodic Time Series Models
- Saving computer time in constructing consistent bootstrap prediction intervals for autoregressive processes
- Spectral factorization of linear periodic systems with application to the optimal prediction of periodic ARMA models
Cited in
(7)- Bootstrap prediction intervals in state-space models
- Bootstrap prediction in unobserved component models
- A State space approach to bootstrapping conditional forecasts in arma models
- Bootstrapping State-Space Models: Gaussian Maximum Likelihood Estimation and the Kalman Filter
- scientific article; zbMATH DE number 605162 (Why is no real title available?)
- On periodic autoregressive stochastic volatility models: structure and estimation
- Dynamic structural models with covariates for short-term forecasting of time series with complex seasonal patterns
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