Bootstrap prediction intervals in state-space models
DOI10.1111/J.1467-9892.2008.00604.XzbMATH Open1224.62086OpenAlexW1996621776MaRDI QIDQ3077646FDOQ3077646
Authors: Alejandro Rodríguez, Esther Ruiz 
Publication date: 22 February 2011
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9892.2008.00604.x
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Cites Work
- Time series analysis by state space methods
- Bootstrap Approximation to Prediction MSE for State–Space Models with Estimated Parameters
- Multivariate Stochastic Variance Models
- Better Bootstrap Confidence Intervals
- Bootstrap Prediction Intervals for Autoregression
- A State space approach to bootstrapping conditional forecasts in arma models
- Bootstrap predictive inference for ARIMA processes
Cited In (22)
- Confidence intervals based on the deviance statistic for the hyperparameters in state space models
- Bootstrap for correcting the mean square error of prediction and smoothed estimates in structural models
- Inference for the hyperparameters of structural models under classical and Bayesian perspectives: a comparison study
- Estimation and prediction of time-varying GARCH models through a state-space representation: a computational approach
- Comparison of classical and Bayesian approaches for intervention analysis
- Dynamic structural models with covariates for short-term forecasting of time series with complex seasonal patterns
- Scenario analysis for derivative portfolios via dynamic factor models
- Bootstrap prediction mean squared errors of unobserved states based on the Kalman filter with estimated parameters
- Estimation procedures and prediction intervals
- Title not available (Why is that?)
- Bootstrap Prediction Intervals for Regression
- A non-parametric statistic for testing conditional heteroscedasticity for unobserved component models
- A pairs trading strategy based on linear state space models and the Kalman filter
- Construction and Visualization of Confidence Sets for Frequentist Distributional Forecasts
- The effects of model parameter deviations on the variance of a linearly filtered time series
- Bootstrap Approximation to Prediction MSE for State–Space Models with Estimated Parameters
- Prediction and interpolation of time series by state space models
- Bootstrapping periodic state-space models
- Stochastic nonlinear time series forecasting using time-delay reservoir computers: performance and universality
- Bootstrap prediction in unobserved component models
- Construction of multi-step forecast regions of VAR processes using ordered block bootstrap
- Bootstrapping State-Space Models: Gaussian Maximum Likelihood Estimation and the Kalman Filter
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