Improved bootstrap prediction intervals for SETAR models
DOI10.1007/S00362-014-0643-1zbMATH Open1332.62109OpenAlexW2071360160MaRDI QIDQ259663FDOQ259663
Authors: Anna Staszewska-Bystrova, Peter Winker 
Publication date: 18 March 2016
Published in: Statistical Papers (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00362-014-0643-1
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Cites Work
- Bootstrap prediction intervals for autoregressive time series
- Small sample properties of the conditional least squares estimator in SETAR models
- Bootstrap prediction bands for forecast paths from vector autoregressive models
- Bootstrap Prediction Intervals for Autoregression
- Reducing confidence bands for simulated impulse responses
- Introducing model uncertainty by moving blocks bootstrap
Cited In (6)
- Prediction intervals in the beta autoregressive moving average model
- Predictor distribution and forecast accuracy of threshold models
- SETAR model selection -- a bootstrap approach
- Bias Correction of Persistence Measures in Fractionally Integrated Models
- Generating prediction bands for path forecasts from SETAR models
- Predictive density criterion for SETAR models
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