Bootstrap prediction inference of nonlinear autoregressive models

DOI10.1111/JTSA.12739MaRDI QIDQ6604029FDO

Authors Kejin Wu, Dimitris Politis

Publication date 12 September 2024

Published in Journal of Time Series Analysis (Search for Journal in Brave)

zbMATH Keywords

bootstrapNLAR forecastingpertinence prediction

Mathematics Subject Classification ID

Bootstrap, jackknife and other resampling methods (62F40) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites work

• scientific article; zbMATH DE number 1321830 (Why is no real title available?)
• scientific article; zbMATH DE number 646819 (Why is no real title available?)
• A new direct approach of computing multi-step ahead predictions for non-linear models
• Basic properties of strong mixing conditions. A survey and some open questions
• Bootstrap Joint Prediction Regions
• Bootstrap of kernel smoothing in nonlinear time series
• Bootstrap prediction intervals for linear, nonlinear and nonparametric autoregressions
• Model-free model-fitting and predictive distributions
• Model-free prediction and regression. A transformation-based approach to inference
• Nonlinear autoregressive processes
• Nonparametric Multistep-Ahead Prediction in Time Series Analysis
• On geometric ergodicity of CHARME models
• Properties of the nonparametric autoregressive bootstrap
• Subsampling for heteroskedastic time series

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