Introducing model uncertainty by moving blocks bootstrap

DOI10.1007/S00362-005-0282-7MaRDI QIDQ864906zbMATH OpenOpenAlexFDO

Authors Andres M. Alonso, Daniel Peña, Juan Romo

Publication date 13 February 2007

Published in Statistical Papers (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10016/14824

Mathematics Subject Classification ID

Bootstrap, jackknife and other resampling methods (62F40) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Inference from stochastic processes and prediction (62M20)

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Cites work

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• A Simulation Study of Autoregressive and Window Estimators of the Inverse Correlation Function
• Accounting for Lag Order Uncertainty in Autoregressions: the Endogenous Lag Order Bootstrap Algorithm
• Bootstrap Prediction Intervals for Autoregression
• Estimating the dimension of a model
• Fitting autoregressive models for prediction
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• Matched-block bootstrap for dependent data
• On blocking rules for the bootstrap with dependent data
• Regression and time series model selection in small samples
• Resampling time series using missing values techniques
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• Sieve bootstrap for time series
• The jackknife and the bootstrap for general stationary observations

Cited in

(6)

• A generalized least squares estimation method for the autoregressive conditional duration model
• scientific article; zbMATH DE number 7047641 (Why is no real title available?)
• Periodically correlated modeling by means of the periodograms asymptotic distributions
• Bias-variance trade-off for prequential model list selection
• Improved bootstrap prediction intervals for SETAR models
• scientific article; zbMATH DE number 854585 (Why is no real title available?)

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