Introducing model uncertainty by moving blocks bootstrap

DOI10.1007/s00362-005-0282-7zbMath1104.62096OpenAlexW2050987943MaRDI QIDQ864906

Daniel Peña, Andrés M. Alonso, Juan J. Romo

Publication date: 13 February 2007

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10016/14824

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bootstrap, jackknife and other resampling methods (62F40) Monte Carlo methods (65C05)

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Cites Work

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• Accounting for Lag Order Uncertainty in Autoregressions: the Endogenous Lag Order Bootstrap Algorithm
• Saving computer time in constructing consistent bootstrap prediction intervals for autoregressive processes
• On blocking rules for the bootstrap with dependent data
• Forecasting time series with sieve bootstrap

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