Asymptotic properties of sieve bootstrap prediction intervals for \textit{FARIMA} processes

DOI10.1016/j.spl.2012.07.011zbMath1471.62477OpenAlexW2045518074MaRDI QIDQ2231017

Maduka Rupasinghe, V. A. Samaranayake

Publication date: 29 September 2021

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2012.07.011

zbMATH Keywords

long memory processesforecast intervalsfractionally integrated time series\textit{ARFIMA}autoregressive approximations

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Nonparametric tolerance and confidence regions (62G15) Nonparametric statistical resampling methods (62G09)

Related Items (3)

Prediction intervals in the beta autoregressive moving average model ⋮ Representation theorems in finite prediction, with applications ⋮ Obtaining prediction intervals for FARIMA processes using the sieve bootstrap

Cites Work

• Unnamed Item
• Autocorrelation, autoregression and autoregressive approximation
• Sieve bootstrap for time series
• On sieve bootstrap prediction intervals.
• Moving-average representation of autoregressive approximations
• Autoregressive approximation in nonstandard situations: the fractionally integrated and non-invertible cases
• Explicit representation of finite predictor coefficients and its applications
• Prediction Intervals for Time Series: A Modified Sieve Bootstrap Approach
• Properties of the Sieve Bootstrap for Fractionally Integrated and Non-Invertible Processes
• REGRESSION, AUTOREGRESSION MODELS
• Fractional differencing
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Forecasting time series with sieve bootstrap

This page was built for publication: Asymptotic properties of sieve bootstrap prediction intervals for \textit{FARIMA} processes