IMPROVED BOOTSTRAP PREDICTION INTERVALS FOR AUTOREGRESSIONS

DOI10.1111/J.1467-9892.1995.TB00229.XMaRDI QIDQ4328379zbMATH OpenOpenAlexFDO

Authors F. Jay Breidt, Richard A. Davis, William T. M. Dunsmuir

Publication date 2 April 1995

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9892.1995.tb00229.x

zbMATH Keywords

approximate bootstrapbootstrapcalibrationcoverage probability mean squared errorexact simulationfirst-order autoregressionsleast absolute deviationsnon-Gaussian autoregressionsnonparametric prediction intervalsprediction intervals

Mathematics Subject Classification ID

Nonparametric statistical resampling methods (62G09) Inference from stochastic processes and prediction (62M20)

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Cites work

• Bootstrap Prediction Intervals for Autoregression
• Calibrating Confidence Coefficients
• Calibrating Prediction Regions
• scientific article; zbMATH DE number 3725656 (Why is no real title available?)
• Some asymptotic theory for the bootstrap
• Time series: theory and methods.

Cited in

(25)

• Bootstrap prediction intervals for autoregressive time series
• Bootstrap prediction intervals for Markov processes
• Median unbiased forecasts for highly persistent autoregressive processes
• Improved bootstrap prediction intervals for SETAR models
• A note on simultaneous calibrated prediction intervals for time series
• Bootstrap prediction intervals for linear, nonlinear and nonparametric autoregressions
• Bias-correction and endogenous lag order algorithm for bootstrap prediction intervals. Discussion on: ``Bootstrap prediction intervals for linear, nonlinear and nonparametric autoregressions
• Functional methods for time series prediction: a nonparametric approach
• Bias-corrected bootstrap prediction intervals for autoregressive model: new alternatives with applications to tourism forecasting
• A simple procedure for computing improved prediction intervals for autoregressive models
• Bootstrap prediction bands for forecast paths from vector autoregressive models
• Nonparametric prediction intervals for explosive ar(1)-processes
• Prediction intervals for a single future value of normal and non-normal variables
• Bootstrap Prediction Intervals for Autoregression
• Bootstrap Prediction Intervals for Regression
• ON BOOTSTRAP PREDICTIVE INFERENCE FOR AUTOREGRESSIVE PROCESSES
• Saving computer time in constructing consistent bootstrap prediction intervals for autoregressive processes
• The adjustment of prediction intervals to account for errors in parameter estimation
• On prediction intervals based on predictive likelihood or bootstrap methods
• Robust bootstrap prediction intervals for univariate and multivariate autoregressive time series models
• Bootstrap prediction intervals for autoregressive models fitted to non-autoregressive processes
• Bootstrap prediction interval for ARMA models with unknown orders
• Bootstrap prediction intervals with asymptotic conditional validity and unconditional guarantees
• Bootstrap Prediction Bands for Functional Time Series
• On the range of validity of the autoregressive sieve bootstrap

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