Robust bootstrap prediction intervals for univariate and multivariate autoregressive time series models

DOI10.1080/02664763.2020.1856351OpenAlexW3109436349MaRDI QIDQ5073387

Han Lin Shang, Ufuk Beyaztas

Publication date: 6 May 2022

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2011.07664

zbMATH Keywords

prediction intervalresampling methodsautoregressionweighted likelihoodvector autoregressionmultivariate forecast

Mathematics Subject Classification ID

Applications of statistics (62Pxx)

Uses Software

• robustbase

Cites Work

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