Bootstrap Approximation to Prediction MSE for State–Space Models with Estimated Parameters
From MaRDI portal
Publication:5487368
DOI10.1111/j.1467-9892.2005.00448.xzbMath1097.62086MaRDI QIDQ5487368
Danny Pfeffermann, Richard Tiller
Publication date: 19 September 2006
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://eprints.soton.ac.uk/9731/1/9731-01.pdf
62F12: Asymptotic properties of parametric estimators
62M20: Inference from stochastic processes and prediction
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62F40: Bootstrap, jackknife and other resampling methods
62G09: Nonparametric statistical resampling methods
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Uses Software
Cites Work
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- Time Series Analysis of Non-Gaussian Observations Based on State Space Models from Both Classical and Bayesian Perspectives
