Obtaining prediction intervals for FARIMA processes using the sieve bootstrap

DOI10.1080/00949655.2013.781271zbMATH Open1453.62643OpenAlexW1999785166MaRDI QIDQ5219458FDOQ5219458

Authors: Maduka Rupasinghe, Purna Mukhopadhyay, V. A. Samaranayake 

Publication date: 12 March 2020

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949655.2013.781271

Recommendations

• Asymptotic properties of sieve bootstrap prediction intervals for \textit{FARIMA} processes
• Prediction intervals for farima processes by bootstrap methods
• Prediction intervals for stationary time series using the sieve bootstrap method
• scientific article; zbMATH DE number 2102886
• Forecasting time series with sieve bootstrap

zbMATH Keywords

forecastingARFIMA processeslong memory processesfractionally integrated time seriesmodel-based bootstrap

Mathematics Subject Classification ID

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

Cites Work

• Time series: theory and methods.
• Sieve bootstrap for time series
• The jackknife and the bootstrap for general stationary observations
• Fractional differencing
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Title not available (Why is that?)
• Efficient parameter estimation for self-similar processes
• Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
• Long memory processes and fractional integration in econometrics
• Title not available (Why is that?)
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• Bootstrap Prediction Intervals for Autoregression
• Autoregressive approximation in nonstandard situations: the fractionally integrated and non-invertible cases
• Saving computer time in constructing consistent bootstrap prediction intervals for autoregressive processes
• Forecasting time series with sieve bootstrap
• Nonparametric maximum likelihood estimation by the method of sieves
• Properties of the Sieve Bootstrap for Fractionally Integrated and Non-Invertible Processes
• Title not available (Why is that?)
• On sieve bootstrap prediction intervals.
• Prediction intervals for farima processes by bootstrap methods
• Obtaining prediction intervals for FARIMA processes using the sieve bootstrap
• Asymptotic properties of sieve bootstrap prediction intervals for \textit{FARIMA} processes
• Prediction Intervals for Time Series: A Modified Sieve Bootstrap Approach

Cited In (6)

• Asymptotic properties of sieve bootstrap prediction intervals for \textit{FARIMA} processes
• Prediction intervals in the beta autoregressive moving average model
• Obtaining prediction intervals for FARIMA processes using the sieve bootstrap
• Change-point analysis in financial networks
• Prediction intervals for farima processes by bootstrap methods
• Analytic and bootstrap approximations of prediction errors under a multivariate Fay-Herriot model

This page was built for publication: Obtaining prediction intervals for FARIMA processes using the sieve bootstrap

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5219458)