On sieve bootstrap prediction intervals.
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Publication:1423099
DOI10.1016/S0167-7152(03)00214-1zbMath1048.62049OpenAlexW2146913227MaRDI QIDQ1423099
Daniel Peña, Andrés M. Alonso, Juan J. Romo
Publication date: 14 February 2004
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0167-7152(03)00214-1
Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric statistical resampling methods (62G09)
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- Bootstrap Prediction Intervals for Autoregression
- REGRESSION, AUTOREGRESSION MODELS
- Saving computer time in constructing consistent bootstrap prediction intervals for autoregressive processes
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- Forecasting time series with sieve bootstrap
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