On backcasting in linear time series models

MaRDI QIDQ4694316zbMATH OpenFDO

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

Publication date 29 June 1993

zbMATH Keywords

backcastingdependence structure of the residualslinear time series modelsnew method of bootstrapping autoregressionsnon-Gaussian likelihood approximation

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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• A State space approach to bootstrapping conditional forecasts in arma models
• Time-reversion of VARMA processes by polynomial methods
• Power of unit root tests against nonlinear and noncausal alternatives with an application to the brent crude oil price

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