Bias-correction and endogenous lag order algorithm for bootstrap prediction intervals. Discussion on: ``Bootstrap prediction intervals for linear, nonlinear and nonparametric autoregressions

DOI10.1016/J.JSPI.2015.10.015zbMATH Open1353.62097OpenAlexW2174653272WikidataQ123121821 ScholiaQ123121821MaRDI QIDQ301353FDOQ301353

Authors: Jae H. Kim 

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.2015.10.015

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Mathematics Subject Classification ID

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

Cites Work

• Strictly Proper Scoring Rules, Prediction, and Estimation
• Confidence intervals for impulse responses under departures from normality
• A fixed point characterization for bias of autoregressive estimators
• Accounting for Lag Order Uncertainty in Autoregressions: the Endogenous Lag Order Bootstrap Algorithm

Cited In (3)

• Bootstrap prediction intervals for autoregressive time series
• Bootstrap prediction interval for ARMA models with unknown orders
• A three-state Markov-modulated switching model for exchange rates

Uses Software

• R
• BootPR

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