ON BOOTSTRAP PREDICTIVE INFERENCE FOR AUTOREGRESSIVE PROCESSES

DOI10.1111/J.1467-9892.1993.TB00158.XMaRDI QIDQ4272768zbMATH OpenOpenAlexFDO

Authors Paul Kabaila

Publication date 19 January 1994

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

Full work available at URL https://doi.org/10.1111/j.1467-9892.1993.tb00158.x

zbMATH Keywords

bootstrap-based predictive inferenceconditional inferenceGaussian processesnon-Gaussian autoregressive processstrictly stationary autoregressive processunconditional inference

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)

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Cites work

• Bootstrap Prediction Intervals for Autoregression
• scientific article; zbMATH DE number 3522963 (Why is no real title available?)
• Linear Statistical Inference and its Applications
• Prediction Mean Squared Error for State Space Models with Estimated Parameters
• Properties of Predictors for Autoregressive Time Series
• The bootstrap and Edgeworth expansion
• The sampling distribution of forecasts from a first-order autoregression

Cited in

(15)

• Bootstrap prediction intervals for autoregressive time series
• Median unbiased forecasts for highly persistent autoregressive processes
• Bootstrap inference for nearly nonstationary autoregressive models with heavy-tailed innovations
• A simple procedure for computing improved prediction intervals for autoregressive models
• Bootstrap prediction bands for forecast paths from vector autoregressive models
• Bootstrap Prediction Intervals for Autoregression
• Recent developments in bootstrapping time series
• Properties of the nonparametric autoregressive bootstrap
• Bootstrap predictive inference for ARIMA processes
• Bootstrapping time series models
• scientific article; zbMATH DE number 1424397 (Why is no real title available?)
• Robust bootstrap prediction intervals for univariate and multivariate autoregressive time series models
• Bootstrap prediction intervals for autoregressive models fitted to non-autoregressive processes
• The Relative Efficiency of Prediction Intervals
• The asymptotic efficiency of improved prediction intervals

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