Improved bootstrap prediction intervals for SETAR models
From MaRDI portal
Publication:259663
DOI10.1007/s00362-014-0643-1zbMath1332.62109MaRDI QIDQ259663
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
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62F25: Parametric tolerance and confidence regions
62J02: General nonlinear regression
62F40: Bootstrap, jackknife and other resampling methods
Related Items
Prediction intervals in the beta autoregressive moving average model, Generating prediction bands for path forecasts from SETAR models, Bias Correction of Persistence Measures in Fractionally Integrated Models
Cites Work
- Reducing confidence bands for simulated impulse responses
- Introducing model uncertainty by moving blocks bootstrap
- 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