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.2015.10.015MaRDI QIDQ301353zbMATH OpenOpenAlexWikidataFDO

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

Mathematics Subject Classification ID

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

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Cites work

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

Cited in

(3)

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

Describes a project that uses

Uses Software

• R
• BootPR

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