Prediction intervals and regions for multivariate time series models with sieve bootstrap
zbMATH Open1411.62261MaRDI QIDQ4631986FDOQ4631986
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
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sieve bootstrapprediction regionssimultaneous prediction intervalsmultivariate time series modelsvector of time series
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
- On the construction and properties of bootstrap-t prediction intervals for stationary time series
- Prediction Intervals for Time Series: A Modified Sieve Bootstrap Approach
- 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
- Title not available (Why is that?)
- 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
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