Obtaining prediction intervals for FARIMA processes using the sieve bootstrap

DOI10.1080/00949655.2013.781271MaRDI QIDQ5219458zbMATH OpenOpenAlexFDO

Authors Maduka Rupasinghe, Purna Mukhopadhyay, V. A. Samaranayake

Publication date 12 March 2020

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00949655.2013.781271

zbMATH Keywords

ARFIMA processesforecastingfractionally integrated time serieslong memory processesmodel-based bootstrap

Mathematics Subject Classification ID

Nonparametric statistical resampling methods (62G09) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)

Recommendations

• Asymptotic properties of sieve bootstrap prediction intervals for \textit{FARIMA} processes
• Prediction intervals for farima processes by bootstrap methods
• Prediction intervals for stationary time series using the sieve bootstrap method
• scientific article; zbMATH DE number 2102886
• Forecasting time series with sieve bootstrap

Cites work

• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Asymptotic properties of sieve bootstrap prediction intervals for \textit{FARIMA} processes
• Autoregressive approximation in nonstandard situations: the fractionally integrated and non-invertible cases
• Bootstrap Prediction Intervals for Autoregression
• Efficient parameter estimation for self-similar processes
• Forecasting time series with sieve bootstrap
• Fractional differencing
• scientific article; zbMATH DE number 1715060 (Why is no real title available?)
• scientific article; zbMATH DE number 2063760 (Why is no real title available?)
• scientific article; zbMATH DE number 3797051 (Why is no real title available?)
• Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
• Long memory processes and fractional integration in econometrics
• Nonparametric maximum likelihood estimation by the method of sieves
• Obtaining prediction intervals for FARIMA processes using the sieve bootstrap
• On sieve bootstrap prediction intervals.
• Prediction intervals for farima processes by bootstrap methods
• Prediction Intervals for Time Series: A Modified Sieve Bootstrap Approach
• Properties of the Sieve Bootstrap for Fractionally Integrated and Non-Invertible Processes
• Saving computer time in constructing consistent bootstrap prediction intervals for autoregressive processes
• Sieve bootstrap for time series
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• The jackknife and the bootstrap for general stationary observations
• Time series: theory and methods.

Cited in

(6)

• Analytic and bootstrap approximations of prediction errors under a multivariate Fay-Herriot model
• Asymptotic properties of sieve bootstrap prediction intervals for \textit{FARIMA} processes
• Prediction intervals for farima processes by bootstrap methods
• Obtaining prediction intervals for FARIMA processes using the sieve bootstrap
• Prediction intervals in the beta autoregressive moving average model
• Change-point analysis in financial networks

This page was built for publication: Obtaining prediction intervals for FARIMA processes using the sieve bootstrap

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5219458)