Resampling-based bias-corrected time series prediction

DOI10.1016/J.JSPI.2010.04.042zbMATH Open1233.62167OpenAlexW1987535983MaRDI QIDQ993822FDOQ993822

Authors: Soutir Bandyopadhyay, Soumendra N. Lahiri 

Publication date: 20 September 2010

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2010.04.042

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zbMATH Keywords

bootstraptiltingmean squared prediction errorsecond order bias correction

Mathematics Subject Classification ID

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

Cites Work

• Resampling methods for dependent data
• Some new developments in small area estimation
• Title not available (Why is that?)
• Title not available (Why is that?)
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• Bootstrap Approximation to Prediction MSE for State–Space Models with Estimated Parameters
• The Estimation of the Mean Squared Error of Small-Area Estimators
• Prediction Mean Squared Error for State Space Models with Estimated Parameters
• Bayesian prediction mean squared error for state space models with estimated parameters
• Resampling-based empirical prediction: an application to small area estimation

Cited In (3)

• Bias-correction of Kalman filter estimators associated to a linear state space model with estimated parameters
• Bootstrap based Trans-Gaussian Kriging
• The bias correction methods based on the predictions of non-linear time series and their applications

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