Prediction intervals and regions for multivariate time series models with sieve bootstrap

MaRDI QIDQ4631986zbMATH OpenFDO

Authors Roman Rózański, Grzegorz Chłapiński, Marcin Hławka, Krzysztof Jamróz, MacIej Kawecki, Adam Zagdański

Publication date 24 April 2019

Full work available at URL http://www.math.uni.wroc.pl/~pms/publicationsArticle.php?nr=38.2&nrA=5&ppB=317&ppE=357

zbMATH Keywords

sieve bootstrapprediction regionssimultaneous prediction intervalsmultivariate time series modelsvector of time series

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric statistical resampling methods (62G09) Nonparametric tolerance and confidence regions (62G15) Inference from stochastic processes and prediction (62M20)

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Cited in

(10)

• Bootstrap prediction regions for multivariate autoregressive processes
• A time-simultaneous prediction box for a multivariate time series
• Prediction Intervals for Time Series: A Modified Sieve Bootstrap Approach
• On the construction and properties of bootstrap-t prediction intervals for stationary time series
• Bootstrap Confidence Regions Computed from Autoregressions of Arbitrary Order
• Prediction intervals for time series models with trend via sieve bootstrap
• Bootstrap prediction bands for forecast paths from vector autoregressive models
• scientific article; zbMATH DE number 2102886 (Why is no real title available?)
• Construction of multi-step forecast regions of VAR processes using ordered block bootstrap
• Bootstrap based multi-step ahead joint forecast densities for financial interval-valued time series

Describes a project that uses

Uses Software

• bootstrap

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