Prediction Intervals for Time Series: A Modified Sieve Bootstrap Approach

DOI10.1080/03610910903506521MaRDI QIDQ3577177zbMATH OpenOpenAlexFDO

Authors Purna Mukhopadhyay, V. A. Samaranayake

Publication date 5 August 2010

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

Full work available at URL https://doi.org/10.1080/03610910903506521

zbMATH Keywords

tablesnonparametric methodsresamplingARMA processesforecast intervalscoverage probabilities

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Nonparametric statistical resampling methods (62G09) Inference from stochastic processes and prediction (62M20)

Recommendations

• Prediction intervals for time series models with trend via sieve bootstrap
• Prediction intervals for stationary time series using the sieve bootstrap method
• Prediction intervals and regions for multivariate time series models with sieve bootstrap
• scientific article; zbMATH DE number 2102886
• Bootstrap prediction intervals for autoregressive time series
• On the construction and properties of bootstrap-t prediction intervals for stationary time series
• Forecasting time series with sieve bootstrap

Cites work

• scientific article; zbMATH DE number 3565994 (Why is no real title available?)
• A Simulation Study of Autoregressive and Window Estimators of the Inverse Correlation Function
• BOOTSTRAPPING STATIONARY AUTOREGRESSIVE MOVING‐AVERAGE MODELS
• Bootstrap Prediction Intervals for Autoregression
• Bootstrap methods: another look at the jackknife
• Bootstrap predictive inference for ARIMA processes
• Confidence intervals for impulse responses under departures from normality
• Forecasting time series with sieve bootstrap
• Nonparametric maximum likelihood estimation by the method of sieves
• On sieve bootstrap prediction intervals.
• Recent developments in bootstrapping time series
• Regression and time series model selection in small samples
• Saving computer time in constructing consistent bootstrap prediction intervals for autoregressive processes
• Sieve bootstrap for time series
• The jackknife and the bootstrap for general stationary observations

Cited in

(11)

• Improved bootstrap prediction intervals for SETAR models
• Improved Sieve Bootstrap based prediction intervals for time series
• Asymptotic properties of sieve bootstrap prediction intervals for \textit{FARIMA} processes
• Bootstrap prediction intervals for linear, nonlinear and nonparametric autoregressions
• Obtaining prediction intervals for FARIMA processes using the sieve bootstrap
• A simple procedure for computing improved prediction intervals for autoregressive models
• Forecasting time series with sieve bootstrap
• On sieve bootstrap prediction intervals.
• Bootstrap prediction intervals for Markov processes
• scientific article; zbMATH DE number 2102886 (Why is no real title available?)
• Robust bootstrap prediction intervals for univariate and multivariate autoregressive time series models

This page was built for publication: Prediction Intervals for Time Series: A Modified Sieve Bootstrap Approach

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3577177)