Asymptotic properties of sieve bootstrap prediction intervals for \textit{FARIMA} processes

DOI10.1016/J.SPL.2012.07.011MaRDI QIDQ2231017zbMATH OpenOpenAlexFDO

Authors Maduka Rupasinghe, V. A. Samaranayake

Publication date 29 September 2021

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2012.07.011

zbMATH Keywords

\textit{ARFIMA}autoregressive approximationsforecast intervalsfractionally integrated time serieslong memory processes

Mathematics Subject Classification ID

Nonparametric statistical resampling methods (62G09) Nonparametric tolerance and confidence regions (62G15) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)

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Cites work

• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Autocorrelation, autoregression and autoregressive approximation
• Autoregressive approximation in nonstandard situations: the fractionally integrated and non-invertible cases
• Explicit representation of finite predictor coefficients and its applications
• Forecasting time series with sieve bootstrap
• Fractional differencing
• scientific article; zbMATH DE number 2063760 (Why is no real title available?)
• Moving-average representation of autoregressive approximations
• On sieve bootstrap prediction intervals.
• Prediction Intervals for Time Series: A Modified Sieve Bootstrap Approach
• Properties of the Sieve Bootstrap for Fractionally Integrated and Non-Invertible Processes
• REGRESSION, AUTOREGRESSION MODELS
• Sieve bootstrap for time series

Cited in

(7)

• Prediction intervals for farima processes by bootstrap methods
• Properties of the Sieve Bootstrap for Fractionally Integrated and Non-Invertible Processes
• Obtaining prediction intervals for FARIMA processes using the sieve bootstrap
• Prediction intervals in the beta autoregressive moving average model
• Representation theorems in finite prediction, with applications
• Change-point analysis in financial networks
• Sieve bootstrap test for changes between unit root and long memory process with time trend

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