Prediction intervals for farima processes by bootstrap methods

DOI10.1080/00949650108812065MaRDI QIDQ2708090zbMATH OpenOpenAlexFDO

Authors Luisa Bisaglia, Matteo Grigoletto

Publication date 5 November 2002

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

Full work available at URL https://doi.org/10.1080/00949650108812065

zbMATH Keywords

bootstrapfractional ARIMA processeslong-range dependencelong-range forecastingprediction intervalsWhittle estimator

Mathematics Subject Classification ID

Bootstrap, jackknife and other resampling methods (62F40) Nonparametric statistical resampling methods (62G09) Inference from stochastic processes and prediction (62M20)

Recommendations

• Obtaining prediction intervals for FARIMA processes using the sieve bootstrap
• Bootstrap predictive inference for ARIMA processes
• Asymptotic properties of sieve bootstrap prediction intervals for \textit{FARIMA} processes
• Forecasting time series with sieve bootstrap
• Bootstrap prediction intervals for autoregressive models fitted to non-autoregressive processes

Cites work

• A central limit theorem for quadratic forms in strongly dependent linear variables and its application to asymptotical normality of Whittle's estimate
• A comparison of techniques of estimation in long-memory processes.
• A Test of Goodness of Fit
• Bootstrap confidence intervals for a class of parametric problems
• Bootstrap methods: another look at the jackknife
• Bootstrap Prediction Intervals for Autoregression
• Efficient parameter estimation for self-similar processes
• scientific article; zbMATH DE number 3565994 (Why is no real title available?)
• scientific article; zbMATH DE number 708500 (Why is no real title available?)
• scientific article; zbMATH DE number 1104922 (Why is no real title available?)
• scientific article; zbMATH DE number 3070807 (Why is no real title available?)
• Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• Time series: theory and methods.

Cited in

(2)

• Analytic and bootstrap approximations of prediction errors under a multivariate Fay-Herriot model
• Obtaining prediction intervals for FARIMA processes using the sieve bootstrap

This page was built for publication: Prediction intervals for farima processes by bootstrap methods

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2708090)