Bootstrap prediction bands for forecast paths from vector autoregressive models

DOI10.1002/for.1205zbMath1248.62166MaRDI QIDQ3166695

Anna Staszewska-Bystrova

Publication date: 15 October 2012

Published in: Journal of Forecasting (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/for.1205

zbMATH Keywords

simultaneous statistical inference

Mathematics Subject Classification ID

62M20: Inference from stochastic processes and prediction

62F40: Bootstrap, jackknife and other resampling methods

62G09: Nonparametric statistical resampling methods

65C05: Monte Carlo methods

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Cites Work

• Bootstrap prediction regions for multivariate autoregressive processes
• Bootstrap prediction intervals for autoregressive time series
• Representing uncertainty about response paths: the use of heuristic optimisation methods
• Bootstrap Prediction Intervals for Autoregression
• ON BOOTSTRAP PREDICTIVE INFERENCE FOR AUTOREGRESSIVE PROCESSES
• IMPROVED BOOTSTRAP PREDICTION INTERVALS FOR AUTOREGRESSIONS
• A CORRECTED AKAIKE INFORMATION CRITERION FOR VECTOR AUTOREGRESSIVE MODEL SELECTION