Forecasting nonlinear time series with neural network sieve bootstrap

DOI10.1016/J.CSDA.2006.03.003MaRDI QIDQ1020025zbMATH OpenOpenAlexFDO

Authors Francesco Giordano, Michele La Rocca, Cira Perna

Publication date 29 May 2009

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

Full work available at URL https://doi.org/10.1016/j.csda.2006.03.003

zbMATH Keywords

artificial neural networksnonlinear time seriesprediction intervals

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Nonparametric statistical resampling methods (62G09) Inference from stochastic processes and prediction (62M20) Neural nets and related approaches to inference from stochastic processes (62M45)

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Cites work

• scientific article; zbMATH DE number 48093 (Why is no real title available?)
• scientific article; zbMATH DE number 646833 (Why is no real title available?)
• A simulation study of artificial neural networks for nonlinear time-series forecasting
• Applications of optimization heuristics to estimation and modelling problems
• Artificial neural networks: an econometric perspective^∗
• Bootstrap Prediction Intervals for Autoregression
• Bootstrap prediction for returns and volatilities in GARCH models
• Bootstraps for time series
• Computational algorithms for double bootstrap confidence intervals
• Forecasting time series with sieve bootstrap
• Neural networks and statistical inference: seeking robust and efficient learning
• On quantile estimation by bootstrap
• Prediction Intervals for Artificial Neural Networks
• Sieve bootstrap for time series
• Variable selection in neural network regression models with dependent data: a subsampling approach

Cited in

(15)

• Clustering nonlinear time series with neural network bootstrap forecast distributions
• A time series bootstrap procedure for interpolation intervals
• A distribution-free method for forecasting non-Gaussian time series
• Nonlinear Prediction Intervals by the Bootstrap Resampling
• Back propagation neural network based big data analytics for a stock market challenge
• Boosting techniques for nonlinear time series models
• Forecasting Short-Term and Medium-Term Time Series: A Comparison of Artificial Neural Networks and Fuzzy Models
• An Aggregation Cache Replacement algorithm based on ontology clustering
• Identification environment and robust forecasting for nonlinear time series
• Sieve bootstrapt-tests on long-run average parameters
• Comparison of the bootstrap and bootstrap neural network methods in non linear time series
• Advances in Neural Networks – ISNN 2005
• Non-linear time series clustering based on non-parametric forecast densities
• Properties of the neural network sieve bootstrap
• Nonlinear autoregressive sieve bootstrap based on extreme learning machines

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