Multiple forecasts with autoregressive time series models: Case studies.

DOI10.1016/S0378-4754(03)00108-3zbMath1038.62114MaRDI QIDQ1427758

D. Massart

Publication date: 14 March 2004

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

zbMATH Keywords

BootstrapAICBonferroni inequalitySimultaneous prediction intervalsAutoregressive processes

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84)

Related Items (2)

Characteristic function estimation of non-Gaussian Ornstein-Uhlenbeck processes ⋮ Comparing distributions with bootstrap techniques: An application to global solar radiation

Uses Software

• SAS
• SAS/ETS

Cites Work

• Simultaneous prediction intervals for multiple forecasts based on Bonferroni and product-type inequalities
• Simultaneous prediction intervals for autoregressive-integrated moving-average models: A comparative study.
• Bootstrap Prediction Intervals for Autoregression
• Approximate Simultaneous Prediction Intervals for Multiple Forecasts
• Saving computer time in constructing consistent bootstrap prediction intervals for autoregressive processes
• Bootstrapping time series models
• Unnamed Item

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