Forecasting time series with sieve bootstrap
From MaRDI portal
Publication:5956231
DOI10.1016/S0378-3758(01)00092-1zbMath1007.62077OpenAlexW2100531191MaRDI QIDQ5956231
Daniel Peña, Juan J. Romo, Andrés M. Alonso
Publication date: 26 March 2003
Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0378-3758(01)00092-1
Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric statistical resampling methods (62G09) Monte Carlo methods (65C05)
Related Items (33)
Model-free bootstrap for a general class of stationary time series ⋮ Bootstrap prediction intervals for linear, nonlinear and nonparametric autoregressions ⋮ A Bootstrap Test for Symmetry of Dependent Data Based on a Kolmogorov–Smirnov Type Statistic ⋮ A computational technique to classify several fractional Brownian motion processes ⋮ Generalized RCINAR(1) Process with Signed Thinning Operator ⋮ Robust bootstrap prediction intervals for univariate and multivariate autoregressive time series models ⋮ Bootstrap prediction intervals for Markov processes ⋮ Introducing model uncertainty by moving blocks bootstrap ⋮ Bootstrap Prediction Bands for Functional Time Series ⋮ A testing approach to clustering scalar time series ⋮ Time series clustering based on nonparametric multidimensional forecast densities ⋮ On sieve bootstrap prediction intervals. ⋮ Modelling dependent data for longevity projections ⋮ Sieve bootstrap prediction intervals ⋮ Asymptotic properties of sieve bootstrap prediction intervals for \textit{FARIMA} processes ⋮ A non-stationary integer-valued autoregressive model ⋮ On robust forecasting in dynamic vector time series models ⋮ Computationally efficient bootstrap prediction intervals for returns and volatilities in ARCH and GARCH processes ⋮ Prediction Intervals for Time Series: A Modified Sieve Bootstrap Approach ⋮ A single-index model procedure for interpolation intervals in time series ⋮ Forecast of the expected non-epidemic morbidity of acute diseases using resampling methods ⋮ Bias correction for time series factor models ⋮ Nonlinear autoregressive sieve bootstrap based on extreme learning machines ⋮ Time series clustering based on forecast densities ⋮ Computational framework for longevity risk management ⋮ Generalized RCINAR(p) Process with Signed Thinning Operator ⋮ Obtaining prediction intervals for FARIMA processes using the sieve bootstrap ⋮ A test for fractional cointegration using the sieve bootstrap ⋮ Bootstrap prediction intervals for autoregressive time series ⋮ Forecasting nonlinear time series with neural network sieve bootstrap ⋮ Catching Uncertainty of Wind: A Blend of Sieve Bootstrap and Regime Switching Models for Probabilistic Short-Term Forecasting of Wind Speed ⋮ A time series bootstrap procedure for interpolation intervals ⋮ Properties of the neural network sieve bootstrap
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Asymptotically efficient selection of the order of the model for estimating parameters of a linear process
- Bootstrapping and related techniques. Proceedings of an international conference, held in Trier, Germany, June 4-8, 1990
- Sieve bootstrap for time series
- A Simulation Study of Autoregressive and Window Estimators of the Inverse Correlation Function
- Bootstrap Prediction Intervals for Autoregression
- Regression and time series model selection in small samples
- ORDER IDENTIFICATION STATISTICS IN STATIONARY AUTOREGRESSIVE MOVING-AVERAGE MODELS:VECTOR AUTOCORRELATIONS AND THE BOOTSTRAP
- Saving computer time in constructing consistent bootstrap prediction intervals for autoregressive processes
- Bootstrap predictive inference for ARIMA processes
- BOOTSTRAPPING STATIONARY AUTOREGRESSIVE MOVING‐AVERAGE MODELS
This page was built for publication: Forecasting time series with sieve bootstrap
