Bootstrap for correcting the mean square error of prediction and smoothed estimates in structural models
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Publication:1729806
DOI10.1214/17-BJPS381zbMath1414.62391MaRDI QIDQ1729806
Glaura C. Franco, Thiago R. dos Santos
Publication date: 28 February 2019
Published in: Brazilian Journal of Probability and Statistics (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.bjps/1547456490
MLE; state space models; hyperparameters; parametric and nonparametric bootstrap; confidence and prediction intervals
62M20: Inference from stochastic processes and prediction
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62F25: Parametric tolerance and confidence regions
62F40: Bootstrap, jackknife and other resampling methods
62G09: Nonparametric statistical resampling methods
Uses Software
