A State space approach to bootstrapping conditional forecasts in arma models

DOI10.1111/1467-9892.00288MaRDI QIDQ3440775zbMATH OpenOpenAlexFDO

Authors Kent D. Wall, David S. Stoffer

Publication date 29 May 2007

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/1467-9892.00288

zbMATH Keywords

ARMA modelbootstrapforecast

Mathematics Subject Classification ID

Bootstrap, jackknife and other resampling methods (62F40) Nonparametric statistical resampling methods (62G09) Inference from stochastic processes and prediction (62M20)

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Cited in

(12)

• Bootstrap for correcting the mean square error of prediction and smoothed estimates in structural models
• Bias-correction of Kalman filter estimators associated to a linear state space model with estimated parameters
• Inference for the hyperparameters of structural models under classical and Bayesian perspectives: a comparison study
• Bootstrap prediction intervals in state-space models
• Bootstrap prediction in unobserved component models
• The effects of model parameter deviations on the variance of a linearly filtered time series
• Bootstrap prediction mean squared errors of unobserved states based on the Kalman filter with estimated parameters
• A pairs trading strategy based on linear state space models and the Kalman filter
• Bootstrapping periodic state-space models
• Dynamic structural models with covariates for short-term forecasting of time series with complex seasonal patterns
• Comparison of classical and Bayesian approaches for intervention analysis
• Estimation of parameterized spatio-temporal dynamic models

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