Sieve bootstrap prediction intervals

DOI10.1007/978-3-642-57678-2_17zbMath1455.62166OpenAlexW4242087775MaRDI QIDQ3297935

Daniel Peña, Andrés M. Alonso, Juan J. Romo

Publication date: 21 July 2020

Published in: COMPSTAT (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10016/14889

zbMATH Keywords

time serieslinear processesprediction intervalssieve bootstrap

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Uses Software

• longmemo

Cites Work

• Unnamed Item
• Time series: theory and methods.
• Asymptotically efficient autoregressive model selection for multistep prediction
• Sieve bootstrap for time series
• Moving-average representation of autoregressive approximations
• Saving computer time in constructing consistent bootstrap prediction intervals for autoregressive processes
• Bootstrap predictive inference for ARIMA processes
• Forecasting time series with sieve bootstrap

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