Bootstrap prediction intervals for linear, nonlinear and nonparametric autoregressions

DOI10.1016/j.jspi.2014.10.003zbMath1353.62101OpenAlexW2010470010MaRDI QIDQ301349

Li Pan, Dimitris N. Politis

Publication date: 30 June 2016

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2014.10.003

zbMATH Keywords

confidence intervalstime seriesforecasting

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric statistical resampling methods (62G09)

Related Items (14)

Bootstrap joint prediction regions for sequences of missing values in spatio-temporal datasets ⋮ Model-free bootstrap for a general class of stationary time series ⋮ Robust bootstrap prediction intervals for univariate and multivariate autoregressive time series models ⋮ Bootstrap confidence intervals for conditional density function in Markov processes ⋮ Robust factor models for high-dimensional time series and their forecasting ⋮ Bootstrap prediction intervals for autoregressive conditional duration models ⋮ Bootstrap Prediction Bands for Functional Time Series ⋮ Bootstrap consistency for the Mack bootstrap ⋮ Prediction interval construction for byproduct gas flow forecasting using optimized twin extreme learning machine ⋮ Time-varying NoVaS versus GARCH: point prediction, volatility estimation and prediction intervals ⋮ Bootstrap Type-1 Fuzzy Functions Approach for Time Series Forecasting ⋮ Robust bootstrap forecast densities for GARCH returns and volatilities ⋮ A justification of conditional confidence intervals ⋮ Methods to compute prediction intervals: a review and new results

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