Improved Sieve Bootstrap based prediction intervals for time series

DOI10.1080/03610918.2023.2240046MaRDI QIDQ6971450zbMATH OpenFDO

Authors Samir Barman, Ramasubramanian V.

Publication date 13 June 2025

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610918.2023.2240046

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• A Simulation Study of Autoregressive and Window Estimators of the Inverse Correlation Function
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• Bootstrap prediction interval for ARMA models with unknown orders
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• Bootstrap predictive inference for ARIMA processes
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• On sieve bootstrap prediction intervals.
• Prediction Intervals for Time Series: A Modified Sieve Bootstrap Approach
• Robust bootstrap prediction intervals for univariate and multivariate autoregressive time series models
• Saving computer time in constructing consistent bootstrap prediction intervals for autoregressive processes
• Sieve bootstrap for time series
• Subsampling
• The jackknife and the bootstrap for general stationary observations

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