Bootstrap for correcting the mean square error of prediction and smoothed estimates in structural models
DOI10.1214/17-BJPS381zbMath1414.62391WikidataQ128595396 ScholiaQ128595396MaRDI QIDQ1729806
Thiago R. dos Santos, Glaura C. Franco
Publication date: 28 February 2019
Published in: Brazilian Journal of Probability and Statistics (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.bjps/1547456490
MLEstate space modelshyperparametersparametric and nonparametric bootstrapconfidence and prediction intervals
Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric tolerance and confidence regions (62F25) Bootstrap, jackknife and other resampling methods (62F40) Nonparametric statistical resampling methods (62G09)
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Bootstrap prediction mean squared errors of unobserved states based on the Kalman filter with estimated parameters
- Bayesian forecasting and dynamic models.
- A standard error for the estimated state vector of a state-space model
- Bayesian Prediction Mean Squared Error for State Space Models with Estimated Parameters
- Inference for the Hyperparameters of Structural Models Under Classical and Bayesian Perspectives: A Comparison Study
- Bootstrap prediction intervals in state-space models
- A State space approach to bootstrapping conditional forecasts in arma models
- Smoothing and Interpolation with the State-Space Model
- Confidence Intervals for the Hyperparameters in Structural Models
- Prediction Mean Squared Error for State Space Models with Estimated Parameters
- Bootstrapping State-Space Models: Gaussian Maximum Likelihood Estimation and the Kalman Filter
- Statistical algorithms for models in state space using SsfPack 2.2
- Reml and best linear unbiased prediction in state space models
- Maximum Likelihood Estimation of Regression Models With Stochastic Trend Components
- Bootstrap Approximation to Prediction MSE for State–Space Models with Estimated Parameters
This page was built for publication: Bootstrap for correcting the mean square error of prediction and smoothed estimates in structural models
