Improved bootstrap prediction intervals for SETAR models

DOI10.1007/S00362-014-0643-1MaRDI QIDQ259663zbMATHOpenAlexFDO

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

zbMATH Keywords

bootstrappingprediction intervalsforecast pathSETAR models

Mathematics Subject Classification ID

Bootstrap, jackknife and other resampling methods (62F40) General nonlinear regression (62J02) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric tolerance and confidence regions (62F25)

Recommendations

• IMPROVED BOOTSTRAP PREDICTION INTERVALS FOR AUTOREGRESSIONS
• Prediction Intervals for Time Series: A Modified Sieve Bootstrap Approach
• SETAR model selection -- a bootstrap approach
• Bootstrap order selection for SETAR models
• Bootstrap prediction intervals for linear, nonlinear and nonparametric autoregressions

Cites work

• Bootstrap Prediction Intervals for Autoregression
• Bootstrap prediction bands for forecast paths from vector autoregressive models
• Bootstrap prediction intervals for autoregressive time series
• Introducing model uncertainty by moving blocks bootstrap
• Reducing confidence bands for simulated impulse responses
• Small sample properties of the conditional least squares estimator in SETAR models

Cited in

(6)

• Bias Correction of Persistence Measures in Fractionally Integrated Models
• Generating prediction bands for path forecasts from SETAR models
• Predictor distribution and forecast accuracy of threshold models
• Predictive density criterion for SETAR models
• SETAR model selection -- a bootstrap approach
• Prediction intervals in the beta autoregressive moving average model

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